Warianty tytułu
143614111
948-stable distributions
Języki publikacji
Abstrakty
W pracy przedstawiono przegląd metod statystycznych, służących do szacowania miary spektralnej określającej strukturę korelacyjną wielowymiarowych &
948-stabilnych rozkładów prawdopodobieństwa. (fragment tekstu)
Rocznik
Numer
Strony
210--234
Opis fizyczny
Twórcy
autor
Bibliografia
- Abdul-Hamid H., Nolan J.P., Multivariate Stable Densities as Function of One Dimensional Projection, Journal of Multivariate Analysis 1998, 67, 1, 80-89.
- Belkacem L., How to Select Optimal Portfolio in astable Markets, Institut National de Recherche en Informatique et en Automatique 1997, no. 3100 .
- Cheng B., Rachev S. T., Multivariate Stable Future Prices. Mathematical Finance 1995, 5 (2), 133-153.
- Davydov Yu., Paulauskas V., On the Estimation of the Parameters of Multivariate Stable Distributions, Acta Applicandae Mathematicae 1999, 58, 107-124.
- Davydov Yu., Paulauskas V., Rackauskas A., More on p-stable Convex Sets in Banach Spaces, Journal of Theoretical Probability 2000, 13 (1), 39-64.
- Feller W., Wstęp do rachunku prawdopodobieństwa, t. 2, PWN, Warszawa 1978.
- Hill B.M., A Simple General Approach to Inference About the Tail of Distribution, Ann. Statistics 1975, 3, 1163-1174.
- Levy P., Théorie des erreurs la loi de Gauss et les exceptionelles, Bulletin de la Société de France 1924, 52, 49-85.
- McCulloch J.H., Estimation of Bivariate Stable Spectral Densities, Unpublished Manuscript - preprint, Departament of Economics, Ohio State University 1994.
- Meerschaert M.M., Scheffler H.P., Portfolio Modeling with Heavy Tailed Random, w: Handbook of Heavy Tailed Distribution in Finance, ed. S.T. Rachev, Elsevier, Amsterdam 2003.
- Nolan J.P., Numerical Computation of Stable Densities and Distributions Functions, Communications in Statistics. Stochastic Models 1975, 13(4), 759-774.
- Nolan J.P., Panorska, A.K., Data Analysis for Heavy Tailed Multivariate Samples, Communications in Statistics: Stochastic Models 1997, 13(4), 687-702.
- Nolan J.P., Panorska A.K., McCulloch J.H., Estimation of Stable Spectral Measure, Mathematical and Computer Modeling 2001, 34, 1113-1122.
- Nolan J.P., Modeling Financial Data With Stable Distribution, w: Handbook of Heavy Tailed Distribution in Finance, ed. S.T. Rachev, Elsevier, Amsterdam 2003.
- Pivato M., Analytical Methods for Multivariate Stable Probabilty Distributions, PhD thesis, University of Toronto, 2001.
- Pivato M., Seco L., Estimating the Spectral Measure of Multivariate Stable Distribution via Spherical Harmonics Analysis, Journal of Multivariate Analysis 2003, 87 (2).
- ] Rachev S.T., Xin H., Test on Association of Random Variables in the Domain of Attraction of Multivariate Stable Law Probability and Mathematicale Statistic 1993, 14, 125-141 .
- Rachev S., Mittnik S., Stable Paretian Models in Finance, Wiley, Nowy Jork 2000.
- Samorodnitsky G., Taqqu M.S., Stable Non-Gausian Random Processes, Chapman and Hall, New York 1994.
- Stein E., Weiss G., Fourier Analysis on Euclidean Spaces, Princeton University Press, Princeton NJ 1971.
- [21] Zaigraev A., On Asymptotic Properties of Multi-dimensional tx-stable Densities, Preprint Submitted to Elsevier Science 2003.
- Zolotarev V.M. On Representation of Densities of Stable Laws by Special Functions, Theory Probability Applicanae 39, 354-362
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171221441