Original title: Elliptical Stable Distributions
Authors: Omelchenko, Vadym
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2010, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Year: 2010
Language: eng
Abstract: The elliptical stable distributions represent a symmetric subfamily of the stable distributions. Their advantage contrary to the general stable distributions consists in their easy-to-use property and the highest resemblance to the normal distribution. They enable an easy representation of the dependence structure of the margins by means of a matrix Q the same as in case of the normal distribution. In general, the dependence structure between margins is given in form of a spectral measure which can be even continuous. The computations and approximations require so much time that it just the fact that many practitioners avoid using general stable distributions. The general stable distributions possess so many additional properties that they barely take after the multivariate normal distribution. But the multi-variate elliptical stable distributions can be easily simulated and the estimation of their parameters can be obtained by methods whose preciseness is almost the same as the one of the maximum likelihood methodology.
Keywords: Elliptical stable distributions; Maximum Likelihood Projections Estimators; Stable Distribution
Project no.: CEZ:AV0Z10750506 (CEP), GD402/09/H045 (CEP)
Funding provider: GA ČR
Host item entry: Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2012/E/omelchenko-elliptical stable distributions.pdf
Original record: http://hdl.handle.net/11104/0196682

Permalink: http://www.nusl.cz/ntk/nusl-126866


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