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Communications in Statistics - Theory and Methods Volume 35, 2006 - Issue 1
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MULTIVARIATE ANALYSIS

Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives

Muneya Matsui Graduate School of Economics, University of Tokyo, Tokyo, JapanCorrespondence[email protected]
&
Akimichi Takemura Graduate School of Information Science and Technology, University of Tokyo, Tokyo, Japan
Pages 149-172 | Received 27 Aug 2004, Accepted 24 Jun 2005, Published online: 15 Feb 2007

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Muneya Matsui. (2021) Asymptotics of maximum likelihood estimation for stable law with continuous parameterization. Communications in Statistics - Theory and Methods 50:15, pages 3695-3712.
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Hassan Fallahgoul, S. M. Hashemiparast, Frank J. Fabozzi & L. Klebanov. (2014) Analytical-Numeric Formulas for the Probability Density Function of Multivariate Stable and Geo-Stable Distributions. Journal of Statistical Theory and Practice 8:2, pages 260-282.
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Mahdi Teimouri & Seyed Mehdi Hoseini. (2024) Observed Fisher information for radar clutter modeled with sub-Gaussian α-stable distribution. Digital Signal Processing 146, pages 104382.
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Kewin Pączek, Damian Jelito, Marcin Pitera & Agnieszka Wyłomańska. (2023) Estimation of stability index for symmetric $$\alpha $$-stable distribution using quantile conditional variance ratios. TEST 33:1, pages 297-334.
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Jarkko Suuronen, Tomás Soto, Neil K Chada & Lassi Roininen. (2023) Bayesian inversion with α-stable priors. Inverse Problems 39:10, pages 105007.
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Dong Li, Yuxin Tao, Yaxing Yang & Rongmao Zhang. (2023) Maximum likelihood estimation for -stable double autoregressive models . Journal of Econometrics 236:1, pages 105471.
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Viacheslav V. Saenko. (2022) The Calculation of the Probability Density and Distribution Function of a Strictly Stable Law in the Vicinity of Zero. Mathematics 10:20, pages 3861.
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Davood Farbod. (2021) Modeling and simulation studies for some truncated discrete distributions generated by stable densities. Mathematical Sciences 16:2, pages 105-114.
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Peter McCullaghPeter McCullagh. 2022. Ten Projects in Applied Statistics. Ten Projects in Applied Statistics 103 116 .
George Tzagkarakis, John P. Nolan & Panagiotis Tsakalides. (2021) Robust nonlinear compressive sampling using symmetric alpha-stable distributions. Signal Processing 182, pages 107944.
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Viacheslav Saenko. (2020) The Calculation of the Density and Distribution Functions of Strictly Stable Laws. Mathematics 8:5, pages 775.
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Emmanuelle Clément & Arnaud Gloter. (2020) Joint estimation for SDE driven by locally stable Lévy processes. Electronic Journal of Statistics 14:2.
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Ajay Jasra, Kengo Kamatani & Hiroki Masuda. (2018) Bayesian inference for stable Lévy–driven stochastic differential equations with high‐frequency data. Scandinavian Journal of Statistics 46:2, pages 545-574.
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Hiroki Masuda. (2019) Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process. Stochastic Processes and their Applications 129:3, pages 1013-1059.
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Giorgio Calzolari & Roxana Halbleib. (2018) Estimating stable latent factor models by indirect inference. Journal of Econometrics 205:1, pages 280-301.
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Alexandre Brouste & Hiroki Masuda. (2018) Efficient estimation of stable Lévy process with symmetric jumps. Statistical Inference for Stochastic Processes 21:2, pages 289-307.
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Martín Gómez García & Toshio Koike. (2016) Parameter-estimation methods for symmetric stable distributions: Application to small samples of spatial fluctuations of rainfall. Spatial Statistics 17, pages 50-70.
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Muneya Matsui & Zbyněk Pawlas. (2016) Fractional absolute moments of heavy tailed distributions. Brazilian Journal of Probability and Statistics 30:2.
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Giorgio Calzolari, Roxana Halbleib & Alessandro Parrini. (2014) Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood. Computational Statistics & Data Analysis 76, pages 158-171.
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Adam Misiorek & Rafał Weron. 2012. Handbook of Computational Statistics. Handbook of Computational Statistics 1025 1059 .
Szymon Borak, Adam Misiorek & Rafał Weron. 2011. Statistical Tools for Finance and Insurance. Statistical Tools for Finance and Insurance 21 55 .
Muneya Matsui & Akimichi Takemura. (2009) Integral representations of one-dimensional projections for multivariate stable densities. Journal of Multivariate Analysis 100:3, pages 334-344.
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Muneya Matsui & Akimichi Takemura. (2007) Goodness-of-fit tests for symmetric stable distributions—Empirical characteristic function approach. TEST 17:3, pages 546-566.
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Giorgio Calzolari & Roxana Halbleib-Chiriac. (2014) Estimating Stable Factor Models by Indirect Inference. SSRN Electronic Journal.
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Efthymios G. Tsionas. (2013) Bayesian Inference in Multivariate Stable Distributions. SSRN Electronic Journal.
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