On estimating the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions
Abstract We propose estimators for the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered.
Autor*in: |
Mohammadi, Mohammad [verfasserIn] |
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Format: |
Artikel |
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Sprache: |
Englisch |
Erschienen: |
2014 |
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Schlagwörter: |
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Anmerkung: |
© Springer-Verlag Berlin Heidelberg 2014 |
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Übergeordnetes Werk: |
Enthalten in: Metrika - Springer Berlin Heidelberg, 1958, 78(2014), 5 vom: 21. Nov., Seite 549-561 |
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Übergeordnetes Werk: |
volume:78 ; year:2014 ; number:5 ; day:21 ; month:11 ; pages:549-561 |
Links: |
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DOI / URN: |
10.1007/s00184-014-0515-7 |
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Katalog-ID: |
OLC2061398820 |
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10.1007/s00184-014-0515-7 doi (DE-627)OLC2061398820 (DE-He213)s00184-014-0515-7-p DE-627 ger DE-627 rakwb eng 510 VZ Mohammadi, Mohammad verfasserin aut On estimating the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract We propose estimators for the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered. Asymptotic distribution Multivariate α-stable distribution Spectral measure Tail index estimation Generalized empirical likelihood estimation Mohammadpour, Adel aut Ogata, Hiroaki aut Enthalten in Metrika Springer Berlin Heidelberg, 1958 78(2014), 5 vom: 21. Nov., Seite 549-561 (DE-627)12908171X (DE-600)3502-6 (DE-576)014414619 0026-1335 nnns volume:78 year:2014 number:5 day:21 month:11 pages:549-561 https://doi.org/10.1007/s00184-014-0515-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_60 GBV_ILN_70 GBV_ILN_193 GBV_ILN_267 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2088 GBV_ILN_4027 GBV_ILN_4126 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4314 AR 78 2014 5 21 11 549-561 |
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10.1007/s00184-014-0515-7 doi (DE-627)OLC2061398820 (DE-He213)s00184-014-0515-7-p DE-627 ger DE-627 rakwb eng 510 VZ Mohammadi, Mohammad verfasserin aut On estimating the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract We propose estimators for the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered. Asymptotic distribution Multivariate α-stable distribution Spectral measure Tail index estimation Generalized empirical likelihood estimation Mohammadpour, Adel aut Ogata, Hiroaki aut Enthalten in Metrika Springer Berlin Heidelberg, 1958 78(2014), 5 vom: 21. Nov., Seite 549-561 (DE-627)12908171X (DE-600)3502-6 (DE-576)014414619 0026-1335 nnns volume:78 year:2014 number:5 day:21 month:11 pages:549-561 https://doi.org/10.1007/s00184-014-0515-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_60 GBV_ILN_70 GBV_ILN_193 GBV_ILN_267 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2088 GBV_ILN_4027 GBV_ILN_4126 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4314 AR 78 2014 5 21 11 549-561 |
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10.1007/s00184-014-0515-7 doi (DE-627)OLC2061398820 (DE-He213)s00184-014-0515-7-p DE-627 ger DE-627 rakwb eng 510 VZ Mohammadi, Mohammad verfasserin aut On estimating the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract We propose estimators for the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered. Asymptotic distribution Multivariate α-stable distribution Spectral measure Tail index estimation Generalized empirical likelihood estimation Mohammadpour, Adel aut Ogata, Hiroaki aut Enthalten in Metrika Springer Berlin Heidelberg, 1958 78(2014), 5 vom: 21. Nov., Seite 549-561 (DE-627)12908171X (DE-600)3502-6 (DE-576)014414619 0026-1335 nnns volume:78 year:2014 number:5 day:21 month:11 pages:549-561 https://doi.org/10.1007/s00184-014-0515-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_60 GBV_ILN_70 GBV_ILN_193 GBV_ILN_267 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2088 GBV_ILN_4027 GBV_ILN_4126 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4314 AR 78 2014 5 21 11 549-561 |
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10.1007/s00184-014-0515-7 doi (DE-627)OLC2061398820 (DE-He213)s00184-014-0515-7-p DE-627 ger DE-627 rakwb eng 510 VZ Mohammadi, Mohammad verfasserin aut On estimating the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract We propose estimators for the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered. Asymptotic distribution Multivariate α-stable distribution Spectral measure Tail index estimation Generalized empirical likelihood estimation Mohammadpour, Adel aut Ogata, Hiroaki aut Enthalten in Metrika Springer Berlin Heidelberg, 1958 78(2014), 5 vom: 21. Nov., Seite 549-561 (DE-627)12908171X (DE-600)3502-6 (DE-576)014414619 0026-1335 nnns volume:78 year:2014 number:5 day:21 month:11 pages:549-561 https://doi.org/10.1007/s00184-014-0515-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_60 GBV_ILN_70 GBV_ILN_193 GBV_ILN_267 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2088 GBV_ILN_4027 GBV_ILN_4126 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4314 AR 78 2014 5 21 11 549-561 |
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10.1007/s00184-014-0515-7 doi (DE-627)OLC2061398820 (DE-He213)s00184-014-0515-7-p DE-627 ger DE-627 rakwb eng 510 VZ Mohammadi, Mohammad verfasserin aut On estimating the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract We propose estimators for the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered. Asymptotic distribution Multivariate α-stable distribution Spectral measure Tail index estimation Generalized empirical likelihood estimation Mohammadpour, Adel aut Ogata, Hiroaki aut Enthalten in Metrika Springer Berlin Heidelberg, 1958 78(2014), 5 vom: 21. Nov., Seite 549-561 (DE-627)12908171X (DE-600)3502-6 (DE-576)014414619 0026-1335 nnns volume:78 year:2014 number:5 day:21 month:11 pages:549-561 https://doi.org/10.1007/s00184-014-0515-7 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-MAT SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_24 GBV_ILN_26 GBV_ILN_32 GBV_ILN_60 GBV_ILN_70 GBV_ILN_193 GBV_ILN_267 GBV_ILN_2012 GBV_ILN_2018 GBV_ILN_2088 GBV_ILN_4027 GBV_ILN_4126 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4314 AR 78 2014 5 21 11 549-561 |
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On estimating the tail index and the spectral measure of multivariate $$\alpha $$-stable distributions |
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