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Everything about Multivariate stable distribution
Concept in probability theory
The multivariate stable distribution is a multivariate probability distribution that is a multivariate generalisation of the univariate stable distribution. The multivariate stable distribution defines linear relations between stable distribution marginals. In the same way as for the univariate case, the distribution is defined in terms of its characteristic function. Wikipedia →
🧭 Start here: a 6-step reading path
- Read the overview: Multivariate stable distributionA 5-minute orientation
- Skim a recent paper: Consistency of Bayesian inference for multivariate max-stable distributionsInfluential work since 2022
- Pick up a classic book: Introduction to Multiple Time Series AnalysisThe most-reprinted book on the subject
- Read the landmark paper: Families of min-stable multivariate exponential and multivariate extreme value distributionsCited 83 times
- Go sideways: Additive processA closely related topic
- Go sideways: Financial models with long-tailed distributions and volatility clusteringA closely related topic
📖 Definitions
No dictionary entry for this exact phrase.
🏆 Landmark papers (most cited)
Families of min-stable multivariate exponential and multivariate extreme value distributions
Multivariate stable distributions
Some remarks on multivariate stable distributions
Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis
Algebraic multidimensional phase unwrapping and zero distribution of complex polynomials-characterization of multivariate stable polynomials
Conditional Distributions and Characterizations of Multivariate Stable Distribution
Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
Multivariate stable distributions and generating densities
🆕 Influential since 2022
Consistency of Bayesian inference for multivariate max-stable distributions
Estimation for multivariate normal rapidly decreasing tempered stable distributions
Estimation of the multivariate symmetric stable distribution using the method of moments
Multivariate Subgaussian Stable Distributions in R
Stable Distribution of Multivariate Data
📚 Books worth reading
Introduction to Multiple Time Series AnalysisHelmut Lütkepohl, Helmut Lutkepohl · 1991- 📕Analytical methods for multivariate stable probability distributionsMarcus Pivato · 2001
A probability metrics approach to financial risk measuresS. T. Rachev · 2011
Extreme eventsMalcolm H. D. Kemp · 2011
Ranked by number of editions on Open Library, a rough measure of how lasting a book is.
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