Gaussian copula of stable random vectors and application
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DOI: 10.15672/hujms.621919
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… read more here.
Keywords: alpha stable; copula stable; stable random; random vectors ... See more keywords