Integral representations of one-dimensional projections for multivariate stable densities

Muneya Matsui and Akimichi Takemura

Journal of Multivariate Analysis, 2009, vol. 100, issue 3, 334-344

Abstract: We consider the numerical evaluation of one-dimensional projections of general multivariate stable densities introduced by Abdul-Hamid and Nolan [H. Abdul-Hamid, J.P. Nolan, Multivariate stable densities as functions of one dimensional projections, J. Multivariate Anal. 67 (1998) 80-89]. In their approach higher order derivatives of one-dimensional densities are used, which seems to be cumbersome in practice. Furthermore there are some difficulties for even dimensions. In order to overcome these difficulties we obtain the explicit finite-interval integral representation of one-dimensional projections for all dimensions. For this purpose we utilize the imaginary part of complex integration, whose real part corresponds to the derivative of the one-dimensional inversion formula. We also give summaries on relations between various parametrizations of stable multivariate density and its one-dimensional projection.

Keywords: 60E7; 60E10; 62H10; Multivariate; stable; distributions; Projections; Complex; integration (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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