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Estimation of the parameters of multivariate stable distributions.
- Source :
-
Communications in Statistics: Simulation & Computation . 2022, Vol. 51 Issue 10, p5897-5914. 18p. - Publication Year :
- 2022
-
Abstract
- In this paper, we first discuss some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available methods, a new hybrid method is proposed for the estimation of the parameters of a univariate stable distribution. The proposed method is further used for the estimation of the parameters of a strictly multivariate stable distribution. The efficiency, accuracy and simplicity of the new method is shown through Monte-Carlo simulation. Finally, we apply the proposed method to the univariate and bivariate financial data. [ABSTRACT FROM AUTHOR]
- Subjects :
- *PARAMETER estimation
*MONTE Carlo method
*UNIVARIATE analysis
Subjects
Details
- Language :
- English
- ISSN :
- 03610918
- Volume :
- 51
- Issue :
- 10
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Simulation & Computation
- Publication Type :
- Academic Journal
- Accession number :
- 159687407
- Full Text :
- https://doi.org/10.1080/03610918.2020.1784432