Approximation of Multidimensional Stable Densities

T. Byczkowski, J. P. Nolan and B. Rajput

Journal of Multivariate Analysis, 1993, vol. 46, issue 1, 13-31

Abstract: Multivariate stable densities do not generally have explicit formula, but they can be specified indirectly by means of a spectral measure. Our main result gives an approximation that is used for numerical computation of these densities. We construct a discrete spectral measure, with explicit formulas for the number, location, and magnitudes of the atoms, that yields a stable density uniformly close to the original one. Sample graphs of two dimensional stable densities with dependence are given.

Date: 1993
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