Multivariate stable distributions
โ Scribed by S.J. Press
- Book ID
- 107880000
- Publisher
- Elsevier Science
- Year
- 1972
- Tongue
- English
- Weight
- 889 KB
- Volume
- 2
- Category
- Article
- ISSN
- 0047-259X
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๐ SIMILAR VOLUMES
We describe parameter estimation for the multivariate sub-Gaussian symmetric stable distribution using Monte Carlo EM algorithm. Two augmented vectors are employed in the construction of the posterior joint density of the stable parameters. Gibbs sampling enables the generation of these vectors from
Several characterizations of multivariate stable distributions together with a characterization of multivariate normal distributions and multivariate stable distributions with Cauchy marginals are given. These are related to some standard characterizations of Marcinkiewicz.