A new representation for the characteristic function of strictly geo-stable vectors

Lev B. Klebanov; Stefan Mittnik; Svetlozar T. Rachev; Vladimir E. Volkovich

doi:10.1017/S0021900200018325

A new representation for the characteristic function of strictly geo-stable vectors

Lev B. Klebanov, Stefan Mittnik, Svetlozar T. Rachev, Vladimir E. Volkovich

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

A new representation for the characteristic function of the multivariate strictly geo-stable distribution is presented. The representation is appealing from a parametric viewpoint: its parameters have an intuitive probabilistic interpretation; and it is particularly useful for estimating the parameters of the geo-stable distribution.

Original language	English
Pages (from-to)	1137-1142
Number of pages	6
Journal	Journal of Applied Probability
Volume	37
Issue number	4
DOIs	https://doi.org/10.1017/S0021900200018325
State	Published - Dec 2000

Keywords

Geo-stable laws
Stable vectors

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10.1017/S0021900200018325

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title = "A new representation for the characteristic function of strictly geo-stable vectors",

abstract = "A new representation for the characteristic function of the multivariate strictly geo-stable distribution is presented. The representation is appealing from a parametric viewpoint: its parameters have an intuitive probabilistic interpretation; and it is particularly useful for estimating the parameters of the geo-stable distribution.",

keywords = "Geo-stable laws, Stable vectors",

author = "Klebanov, {Lev B.} and Stefan Mittnik and Rachev, {Svetlozar T.} and Volkovich, {Vladimir E.}",

year = "2000",

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language = "English",

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AU - Klebanov, Lev B.

AU - Mittnik, Stefan

AU - Rachev, Svetlozar T.

AU - Volkovich, Vladimir E.

PY - 2000/12

Y1 - 2000/12

N2 - A new representation for the characteristic function of the multivariate strictly geo-stable distribution is presented. The representation is appealing from a parametric viewpoint: its parameters have an intuitive probabilistic interpretation; and it is particularly useful for estimating the parameters of the geo-stable distribution.

AB - A new representation for the characteristic function of the multivariate strictly geo-stable distribution is presented. The representation is appealing from a parametric viewpoint: its parameters have an intuitive probabilistic interpretation; and it is particularly useful for estimating the parameters of the geo-stable distribution.

KW - Geo-stable laws

KW - Stable vectors

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U2 - 10.1017/S0021900200018325

DO - 10.1017/S0021900200018325

M3 - Article

AN - SCOPUS:85037767276

SN - 0021-9002

VL - 37

SP - 1137

EP - 1142

JO - Journal of Applied Probability

JF - Journal of Applied Probability

IS - 4

ER -

A new representation for the characteristic function of strictly geo-stable vectors

Abstract

Keywords

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