Title: Estimation of the parameters of multivariate stable distributions
Abstract:In this paper, we first discuss some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available...In this paper, we first discuss some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available methods, a new hybrid method is proposed for the estimation of the parameters of a univariate stable distribution. The proposed method is further used for the estimation of the parameters of a strictly multivariate stable distribution. The efficiency, accuracy and simplicity of the new method is shown through Monte-Carlo simulation. Finally, we apply the proposed method to the univariate and bivariate financial data.Read More