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arXiv · 1609.00926

Multivariate Mixed Tempered Stable Distribution

Asmerilda Hitaj·Friedrich Hubalek·Lorenzo Mercuri·Edit Rroji
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Abstract

The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure between components are investigated. We discuss a random number generating procedure and introduce an estimation methodology based on the minimization of a distance between empirical and theoretical characteristic functions. Asymptotic tail behavior of the univariate Mixed Tempered Stable is exploited in the estimation procedure in order to obtain a better model fitting. Advantages of the multivariate Mixed Tempered Stable distribution are discussed and illustrated via simulation study.

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BibTeXRIS

Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri, Edit Rroji. 2016-09-04. Multivariate Mixed Tempered Stable Distribution. https://arxiv.org/abs/1609.00926

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