Approximation of multidimensional stable densities
Journal of Multivariate Analysis
Signal processing with alpha-stable distributions and applications
Signal processing with alpha-stable distributions and applications
Characteristic function based estimation of stable distribution parameters
A practical guide to heavy tails
A practical guide to heavy tails
Multivariate stable densities as functions of one dimensional projections
Journal of Multivariate Analysis
Indirect estimation of elliptical stable distributions
Computational Statistics & Data Analysis
Modeling SAR images with a generalization of the Rayleigh distribution
IEEE Transactions on Image Processing
Modeling fat tails in stock returns: a multivariate stable-GARCH approach
Computational Statistics
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Stable distributions with elliptical contours are a class of distributions that are useful for modeling heavy tailed multivariate data. This paper describes the theory of such distributions, presents formulas for calculating their densities, and methods for fitting the data and assessing the fit. Efficient numerical routines are implemented and evaluated in simulations. Applications to data sets of a financial portfolio with 30 assets and to a bivariate radar clutter data set are presented.