Stable Distribution of Multivariate Data

Phuc Ho Dang and Truc Giang Vo Thi
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Phuc Ho Dang: a:1:{s:5:"en_US";s:36:"Hanoi Institute of Mathematics, VAST";}
Truc Giang Vo Thi: Tien Giang University, Vietnam

European Journal of Mathematics and Statistics, 2023, vol. 4, issue 4, 48-55

Abstract: The main theorem of the paper states that every stable random vector with marginal skewness parameters different from ±1 can be turned into a sub-Gaussian random vector by using an appropriately tailored transformation in multidimensional space. The theorem is used to create a formula on probability density function of stable random vector and to perform a procedure of testing the stable distribution of multivariate data. A dataset collected from the Nasdaq stock market is used to illustrate the proposed procedure.

Keywords: Data analysis; Heavy-tailed distribution; Portfolio selection; Stock market (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:epw:ejmath:v:4:y:2023:i:4:id:14160

DOI: 10.24018/ejmath.2023.4.4.160

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