# Metrics for multivariate stable distributions

Banach Center Publications (2010)

- Volume: 90, Issue: 1, page 83-102
- ISSN: 0137-6934

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topJohn 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 -

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