Metrics for multivariate stable distributions

John P. Nolan. "Metrics for multivariate stable distributions." Banach Center Publications 90.1 (2010): 83-102. <http://eudml.org/doc/282500>.

@article{JohnP2010,
abstract = {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.},
author = {John P. Nolan},
journal = {Banach Center Publications},
keywords = {multivariate stable distributions; Prokhorov metric},
language = {eng},
number = {1},
pages = {83-102},
title = {Metrics for multivariate stable distributions},
url = {http://eudml.org/doc/282500},
volume = {90},
year = {2010},
}

TY - JOUR
AU - John P. Nolan
TI - Metrics for multivariate stable distributions
JO - Banach Center Publications
PY - 2010
VL - 90
IS - 1
SP - 83
EP - 102
AB - 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.
LA - eng
KW - multivariate stable distributions; Prokhorov metric
UR - http://eudml.org/doc/282500
ER -