Metrics for multivariate stable distributions

• Autorzy: John P. Nolan
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 60E10: Characteristic functions; other transforms
• 60E07: Infinitely divisible distributions; stable distributions

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2010
• Tom: 90
• Numer: 1
• Strony: 83-102

Daty

wydano

2010

Twórcy

autor

John P. Nolan

• Department of Mathematics and Statistics, American University, Washington, DC 20912-8050, U.S.A.

Identyfikatory

DOI

10.4064/bc90-0-6