Estimation of sub-Gaussian random vectors using the method of moments

Abstract: The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addresses the problem of feasible estimation of distributions. We present a method based on application of the method of moments to the empirical characteristic function. Further, we show almost sure convergence of our estimators, discover their limiting distribution and demonstrate their finite-sample performance.