Title of article :
Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
Author/Authors :
Kozubowski، نويسنده , , T.J. and Panorska، نويسنده , , A.K.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1999
Pages :
8
From page :
255
To page :
262
Abstract :
A method for simulation of να-stable random vectors based on their representation as location and scale mixtures of α-stable random vectors is discussed. The method has applications in modeling multivariate financial portfolios and Monte Carlo estimation procedures.
Keywords :
Random sum , Heavy-tail modeling , Monte Carlo estimation , Financial modeling , Statistical computing , Stable law
Journal title :
Mathematical and Computer Modelling
Serial Year :
1999
Journal title :
Mathematical and Computer Modelling
Record number :
1591430
Link To Document :
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