Multivariate Mixed Tempered Stable Distribution

Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri (lorenzo.mercuri@unimi.it) and Edit Rroji

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Abstract: The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure between components are investigated. We discuss a random number generating procedure and introduce an estimation methodology based on the minimization of a distance between empirical and theoretical characteristic functions. Asymptotic tail behavior of the univariate Mixed Tempered Stable is exploited in the estimation procedure in order to obtain a better model fitting. Advantages of the multivariate Mixed Tempered Stable distribution are discussed and illustrated via simulation study.

Date: 2016-09, Revised 2016-10
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