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Approximation of multidimensional stable densities. (English) Zbl 0790.60020
Authors’ abstract: Multivariate stable densities do not generally have explicit formula, but they can be specified indirectly by means of a spectral measure. Our main result gives an approximation that is used for numerical computation of these densities. We construct a discrete spectral measure, with explicit formulas for the number, location, and magnitudes of the atoms, that yields a stable density uniformly close to the original one. Sample graphs of two-dimensionable stable densities with dependence are given.

MSC:
60E07 Infinitely divisible distributions; stable distributions
60E10 Characteristic functions; other transforms
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