Back to Search
Start Over
On Properties of the MixedTS Distribution and Its Multivariate Extension
- Publication Year :
- 2018
-
Abstract
- A review of the univariate MixedTS is given and some new results on the asymptotic tail behaviour are derived. The multivariate version of the Mixed Tempered Stable, which is a generalisation of the Normal Variance Mean Mixtures, is discussed. Characteristics of this distribution, its capacity in fitting tails and in capturing dependence structure between components are investigated. We discuss a random number generating procedure and introduce an estimation methodology based on the minimisation of a distance between empirical and theoretical characteristic functions. Asymptotic tail behaviour of the univariate Mixed Tempered Stable is exploited in the estimation procedure in order to obtain a better fitting on tails. Advantages of the multivariate Mixed Tempered Stable distribution are discussed and illustrated via numerical analysis.
Details
- Database :
- OAIster
- Notes :
- STAMPA, English
- Publication Type :
- Electronic Resource
- Accession number :
- edsoai.on1308924963
- Document Type :
- Electronic Resource