Wykorzystanie metod analitycznych do wyznaczania wielowymiarowych alfa-stabilnych rozkładów prawdopodobieństwa

• Autorzy: Marek Łażewski , Krzysztof Zator

Warianty tytułu

Analytical Methods for Multivariate &-Stable Distributions Using Spherical Harmonics

• Języki publikacji: PL

Abstrakty

Autorzy przedstawili propozycję estymacji - w sposób analityczny - parametrów wielowymiarowych &-stabilnych rozkładów prawdopodobieństwa. Zamiarem autorów było zaimplementowanie numeryczne opisanych procedur w celu efektywnego ich wykorzystania do określenia ryzyka oraz użycia go w analizie portfelowej.

EN

In this paper we study the relationship between multivariate a-stable probability distributions and their spectral measure. Analytical method based on nonabelian harmonic analysis is used to express the spectral measure using spherical harmonics on the sphere. (original abstract)

Słowa kluczowe

PL

Teoria prawdopodobieństwa; Metody analityczno-obliczeniowe

EN

Probability theory; Analytical and computational methods

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2004
• Tom: 177 Rynki finansowe, prognozy a decyzje
• Strony: 275--290

Twórcy

autor

Marek Łażewski

autor

Krzysztof Zator

Bibliografia

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