Analytical Methods for Multivariate alfa-Stable Distributions Using Spherical Harmonics

Marek Łażewski and Krzysztof Zator
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Marek Łażewski: Poznań University of Economics and Business, Poland
Krzysztof Zator: TUiR Warta SA, Poland

Chapter 17 in Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, 2004, vol. 177, pp 275-290 from University of Lodz

Abstract: In this paper we study the relationship between multivariate a-stable probability distributions and their spectral measure. Analytical method based on nonabelian harmonic analysis is used to express the spectral measure using spherical harmonics on the sphere.

Keywords: Alpha-stable distributions; Spherical harmonics; Spectral analysis (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2004:n:177:ch:17:foe

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