{
  "id": "1902.09796",
  "version": "v1",
  "published": "2019-02-26T08:31:43.000Z",
  "updated": "2019-02-26T08:31:43.000Z",
  "title": "Estimation of the Parameters of Multivariate Stable Distributions",
  "authors": [
    "Aastha M. Sathe",
    "Neelesh. S. Upadhye"
  ],
  "categories": [
    "stat.CO"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2019-02-26T08:31:43.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60E07",
      "62F10"
    ],
    "keywords": [
      "estimation",
      "parameters",
      "bivariate financial data",
      "well-known methods",
      "univariate stable distribution"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}