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

Part of: Stochastic analysis Mathematical economics Limit theorems

Published online by Cambridge University Press:  14 July 2016

Lev B. Klebanov ,
Stefan Mittnik ,
Svetlozar T. Rachev  and
Vladimir E. Volkovich
Lev B. Klebanov*
Affiliation:
St Petersburg State University
Stefan Mittnik*
Affiliation:
University of Kiel
Svetlozar T. Rachev*
Affiliation:
University of California, Santa Barbara
Vladimir E. Volkovich*
Affiliation:
Ort Braude College
*
∗ Postal address: St Petersburg State University for Architecture and Civil Engineering, St Petersburg, Russia.
∗∗ Postal address: Institute of Statistics and Econometrics, University of Kiel, Germany.
∗∗∗ Postal address: Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106-3110, USA. Email address: [email protected]
∗∗∗∗ Postal address: Ort Braude College, PO Box 78, Karmiel 21982, Israel.
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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

Stable vectorsgeo-stable laws

MSC classification

Primary: 60F17: Functional limit theorems; invariance principles
Secondary: 60H05: Stochastic integrals 91B84: Economic time series analysis
Type
Short Communications
Information
Journal of Applied Probability , Volume 37 , Issue 4 , December 2000 , pp. 1137 - 1142
Copyright
Copyright © by the Applied Probability Trust 2000 

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References

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