Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis
A new method is developed for estimating the spectral measure of a multivariate stable probability measure, by representing the measure as a sum of spherical harmonics.
Year of publication: |
2003
|
---|---|
Authors: | Pivato, Marcus ; Seco, Luis |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 87.2003, 2, p. 219-240
|
Publisher: |
Elsevier |
Keywords: | Stable probability distributions Infinitely divisible distributions Spectral measure Parameter estimation Spherical harmonics |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
A General Structural Approach For Credit Modeling Under Stochastic Volatility
Escobar, Marcos, (2011)
-
Single and Double Black-Cox: Two approaches for modelling debt restructuring
AbĂnzano, Isabel, (2009)
-
Pricing a CDO on stochastically correlated underlyings
Escobar, Marcos, (2010)
- More ...