Estimation of the Parameters of Multivariate Stable Distributions
Computation
2019-02-27 v1
Abstract
In this paper, we begin our discussion with some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available methods, a new hybrid method is proposed for the estimation of the parameters of a univariate stable distribution. The proposed method is further used for the estimation of the parameters of a strictly multivariate stable distribution. The efficiency, accuracy, and simplicity of the new method is shown through Monte-Carlo simulation. Finally, we apply the proposed method to the univariate and bivariate financial data.
Keywords
Cite
@article{arxiv.1902.09796,
title = {Estimation of the Parameters of Multivariate Stable Distributions},
author = {Aastha M. Sathe and Neelesh. S. Upadhye},
journal= {arXiv preprint arXiv:1902.09796},
year = {2019}
}