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Estimation of stable spectral measures

โœ Scribed by J.P. Nolan; A.K. Panorska; J.H. McCulloch

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
743 KB
Volume
34
Category
Article
ISSN
0895-7177

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โœฆ Synopsis

present two new estimators of a stable spectral measure. One is based on the empirical characteristic function, and the other is based on one-dimensional projections of the data. We compare these estimators with the Ftachev-Xin-Cheng estimator in an empirical study. Their applications in modeling financial portfolios are also discussed.

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