Estimation of stable spectral measures

Authors:
J. P. Nolan;A. K. Panorska;J. H. Mcculloch
Affiliations:
Department of Mathematics and Statistics American University Washington, DC, U.S.A.;Division of Hydrologic Science Desert Research Institute Reno, NV, U.S.A.;Department of Economics The Ohio State University Columbus, OH, U.S.A.
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
2001

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Abstract

We present two new estimators of a stable spectral measure. One is based on the empirical characteristic function, and the other is based on one-dimensional projections of the data. We compare these estimators with the Rachev-Xin-Cheng estimator in an empirical study. Their applications in modeling financial portfolios are also discussed.