Estimation of stable spectral measures

نویسندگان

  • John P. Nolan
  • Anna K. Panorska
چکیده

We present two new estimators of a stable spectral measure. One is based on the empirical characteristic function, the other is based on one dimensional projections of the data. We compare these estimators with the Rachev-Xin-Cheng estimator in an empirical study. Their applications in modeling nancial portfolios are also discussed.

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تاریخ انتشار 2008