Název: Elliptical Stable Distributions
Autoři: Omelchenko, Vadym
Typ dokumentu: Příspěvky z konference
Konference/Akce: Mathematical Methods in Economics 2010, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Rok: 2010
Jazyk: eng
Abstrakt: The elliptical stable distributions represent a symmetric subfamily of the stable distributions. Their advantage contrary to the general stable distributions consists in their easy-to-use property and the highest resemblance to the normal distribution. They enable an easy representation of the dependence structure of the margins by means of a matrix Q the same as in case of the normal distribution. In general, the dependence structure between margins is given in form of a spectral measure which can be even continuous. The computations and approximations require so much time that it just the fact that many practitioners avoid using general stable distributions. The general stable distributions possess so many additional properties that they barely take after the multivariate normal distribution. But the multi-variate elliptical stable distributions can be easily simulated and the estimation of their parameters can be obtained by methods whose preciseness is almost the same as the one of the maximum likelihood methodology.
Klíčová slova: Elliptical stable distributions; Maximum Likelihood Projections Estimators; Stable Distribution
Číslo projektu: CEZ:AV0Z10750506 (CEP), GD402/09/H045 (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2012/E/omelchenko-elliptical stable distributions.pdf
Původní záznam: http://hdl.handle.net/11104/0196682

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-126866


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference