Estimation of stable spectral measures
We 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 Rachev-Xin-Cheng estimator in an empirical study. Their applications in modeling financial portfolios are also discussed. (C) 2001 Elsevier Science Ltd. All rights reserved.
estimation spectral measure multivariate alpha-stable distributions financial modeling