Browsing ECO Working Papers by Subject "high dimension"

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Browsing ECO Working Papers by Subject "high dimension"

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    Title: Indirect Estimation of Elliptical Stable Distributions  Author(s): LOMBARDI, Marco J.; VEREDAS, David Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate Student-t distribution as auxiliary model. This distribution is also elliptical and we show that ...