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arXiv · 1902.09796

Estimation of the Parameters of Multivariate Stable Distributions

Aastha M. Sathe·Neelesh. S. Upadhye
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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.

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BibTeXRIS

Aastha M. Sathe, Neelesh. S. Upadhye. 2019-02-26. Estimation of the Parameters of Multivariate Stable Distributions. https://arxiv.org/abs/1902.09796

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