Estimation of the Parameters of Multivariate Stable Distributions

Aastha M. Sathe, Neelesh. S. Upadhye

Published 2019-02-26Version 1

In this paper, we begin our discussion with some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available methods, a new hybrid method is proposed for the estimation of the parameters of a univariate stable distribution. The proposed method is further used for the estimation of the parameters of a strictly multivariate stable distribution. The efficiency, accuracy, and simplicity of the new method is shown through Monte-Carlo simulation. Finally, we apply the proposed method to the univariate and bivariate financial data.