Multivariate elliptically contoured stable distributions: theory and estimation
نویسنده
چکیده
Mulitvariate stable distributions with elliptical contours are a class of heavy tailed distributions that can be useful for modeling financial data. This paper describes the theory of such distributions, presents formulas for calculating their densities, methods for fitting the data and assessing the fit. Numerical routines are described that work for dimension d ≤ 40. An example looks at a portfolio with 30 assets.
منابع مشابه
The Predictive Distribution for the Heteroscedastic Multivariate Linear Models with Elliptically Contoured Error Distributions
This paper considers the heteroscedastic multivariate linear model with errors following elliptically contoured distributions. The marginal likelihood function of the unknown covariance parameters and the predictive distribution of future responses have been derived. The predictive distribution obtained is a product of m multivariate Student’s t distributions. It is interesting to note that whe...
متن کاملInvariance properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions
properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions. OATAO is an open access repository that collects the work of Toulouse researchers and makes it freely available over the web where possible. • We consider a class of complex elliptically contoured matrix distributions (ECD). • We investigate properties of the likelihood rati...
متن کاملA Note on Hilbertian Elliptically Contoured Distributions
In this paper, we discuss elliptically contoured distribution for random variables defined on a separable Hilbert space. It is a generalization of the multivariate elliptically contoured distribution to distributions on infinite dimensional spaces. Some theoretical properties of the Hilbertian elliptically contoured distribution are discussed, examples on functional data are investigated to ill...
متن کاملOn the Theory of Elliptically Contoured Distributions
The theory of elliptically contoured distributions is presented in an unrestricted setting (without reference to moment restrictions or assumptions of absolute continuity). These distributions are defined parametrically through their characteristic functions, and then studied primarily through the use of stochastic representations which naturally follow from the seminal work of Schoenberg on sp...
متن کاملTheory of cross sectionally contoured distributions and its applications
We discuss generalization of elliptically contoured distributions to densities whose contours are arbitrary cross sections in the framework of group invariance. This generalization leads to much richer family of distributions compared to the elliptically contoured distributions. The basic property of the elliptically contoured distribution is the independence of the \length" and the \direction"...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006