Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities

Ilya Molchanov

Journal of Multivariate Analysis, 2009, vol. 100, issue 10, 2195-2213

Abstract: It is known that each symmetric stable distribution in is related to a norm on that makes embeddable in Lp([0,1]). In the case of a multivariate Cauchy distribution the unit ball in this norm is the polar set to a convex set in called a zonoid. This work interprets symmetric stable laws using convex or star-shaped sets and exploits recent advances in convex geometry in order to come up with new probabilistic results for multivariate symmetric stable distributions. In particular, it provides expressions for moments of the Euclidean norm of a stable vector, mixed moments and various integrals of the density function. It is shown how to use geometric inequalities in order to bound important parameters of stable laws. Furthermore, covariation, regression and orthogonality concepts for stable laws acquire geometric interpretations.

Keywords: Convex; body; Generalised; function; Fourier; transform; Multivariate; stable; distribution; Star; body; Spectral; measure; Support; function; Zonoid (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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