Multivariate stable distributions

S. J. Press

Journal of Multivariate Analysis, 1972, vol. 2, issue 4, 444-462

Abstract: This paper is devoted to the theory and application of multidimensional stable distributions. Properties of these laws are developed and explicit algebraic representations are given in terms of characteristic functions. Symmetric and asymmetric laws and their properties are studied separately. A measure of association for variables following a symmetric bivariate stable distribution is provided and its properties are shown to be analogous to those of the ordinary correlation coefficient. Examples are given, and the class of symmetric multivariate stable distributions is applied to a problem in portfolio analysis.

Date: 1972
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