Title of article
Estimation of stable spectral measures
Author/Authors
Nolan، نويسنده , , J.P. and Panorska، نويسنده , , A.K. and McCulloch، نويسنده , , J.H.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
10
From page
1113
To page
1122
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.
Keywords
Financial modeling , Estimation , Multivariate ?-stable distributions , Spectral measure
Journal title
Mathematical and Computer Modelling
Serial Year
2001
Journal title
Mathematical and Computer Modelling
Record number
1592258
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