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Metrics for multivariate stable distributions

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Nolan J.

Banach Center Publications

2010

tom 90

nr 1

83-102

Metrics are proposed for the distance between two multivariate stable distributions. The first set of metrics are defined in terms of the closeness of the parameter functions of one dimensional projections of the laws. Convergence in these metrics is equivalent to convergence in distribution and an explicit bound on the uniform closeness of two stable densities is given. Another metric based on the Prokhorov metric between the spectral measures is related to the first metric. Consequences for approximation, simulation and estimation are discussed.

Ograniczanie wyników

1 Banach Center Publications

1 Nolan J.

1 2010

Wyniki wyszukiwania

Metrics for multivariate stable distributions