An approximation procedure for asymmetric stable Paretian densities

zbMath0924.65154MaRDI QIDQ1297871

Toker Doganoglu, Stefan Mittnik

Publication date: 14 September 1999

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationpolynomial approximationfast Fourier transformasymmetric stable Paretian distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Approximations to statistical distributions (nonasymptotic) (62E17) Empirical decision procedures; empirical Bayes procedures (62C12) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Portfolio optimization when risk factors are conditionally varying and heavy tailed ⋮ Likelihood-free Bayesian inference for \(\alpha\)-stable models ⋮ Calibrated FFT-based density approximations for \(\alpha\)-stable distributions ⋮ Performance estimation when the distribution of inefficiency is unknown ⋮ Maximum likelihood estimation of stable Paretian models. ⋮ Testing the stable Paretian assumption

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