Applications of a General Stable Law Regression Model

DOI10.1080/02664760600746699zbMath1119.62315OpenAlexW2064073867MaRDI QIDQ3592648

Ian G. McHale, P. J. Laycock

Publication date: 13 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760600746699

zbMATH Keywords

extreme valuesheavy-tailsregressionstable distribution

Mathematics Subject Classification ID

Point estimation (62F10) Linear inference, regression (62J99) Applications of mathematical programming (90C90)

Cites Work

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• Parameterizations and modes of stable distributions
• An algorithm for evaluating stable densities in Zolotarev's \((M)\) parameterization
• On Wiener-Hopf factorisation and the distribution of extrema for certain stable processes
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples

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