文章基本信息

标题：Indirect estimation of elliptical stable distributions
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作者：Marco LOMBARDI ; David VEREDAS
期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2007
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable, therefore making the proposed indirect approach especially suitable. Standard asymptotic properties are also shown and we analyze the finite sample behavior of the estimators via a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.
关键词：stable, elliptical, high dimension, multivariate, indirect inference.