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Dergiler / Hacettepe Journal of Mathematics and Statistics / 2020 / Cilt: 49 - Sayı: 2

Gaussian copula of stable random vectors and application

Phuc Ho Dang
Truc Giang Vo Thi
Sayfa
887–901
Yayın Tarihi
2022-10-18
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Adopting a new tool, the paper points out that pairs of GPS signals recording latitude and longitude of a fixed point have two-dimensional stable distribution, and in the most of cases, vectors of daily returns in stock market data have multivariate stable distributions with Gaussian copulas.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In this paper, we present a new method to investigate data of multivariate heavy-tailed distributions.
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Temel Bulgular & Veri:We show that for any given number $\alpha \in (0;2]$, each Gaussian copula is also the copula of an $\alpha$-stable random vector.
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Sonuç & Katkı:Adopting a new tool, the paper points out that pairs of GPS signals recording latitude and longitude of a fixed point have two-dimensional stable distribution, and in the most of cases, vectors of daily returns in stock market data have multivariate stable distributions with Gaussian copulas.
🔬Tür:Araştırma Makalesi
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:stable distributions · multivariate density function · GPSdata

Abstract

In this paper, we present a new method to investigate data of multivariate heavy-tailed distributions. We show that for any given number $\alpha \in (0;2]$, each Gaussian copula is also the copula of an $\alpha$-stable random vector. Simultaneously, every random vector is $\alpha$-stable if its marginals are $\alpha$-stable and its copula is a Gaussian copula. The result is used to build up a formula representing density functions of $\alpha$-stable random vectors with Gaussian copula. Adopting a new tool, the paper points out that pairs of GPS signals recording latitude and longitude of a fixed point have two-dimensional stable distribution, and in the most of cases, vectors of daily returns in stock market data have multivariate stable distributions with Gaussian copulas.

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Bu Makaleye Atıf Yap

Dang, P. H., Thi, T. G. V. (2022). Gaussian copula of stable random vectors and application. Hacettepe Journal of Mathematics and Statistics, Cilt: 49 - Sayı: 2, 887–901. https://ajindex.com/articles/529648

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