Estimation of stable spectral measures
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J.P. Nolan; A.K. Panorska; J.H. McCulloch
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Article
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2001
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Elsevier Science
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English
โ 743 KB
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 fi