Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis

Marcus Pivato and Luis Seco

Journal of Multivariate Analysis, 2003, vol. 87, issue 2, 219-240

Abstract: A new method is developed for estimating the spectral measure of a multivariate stable probability measure, by representing the measure as a sum of spherical harmonics.

Keywords: Stable; probability; distributions; Infinitely; divisible; distributions; Spectral; measure; Parameter; estimation; Spherical; harmonics (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (8)

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