Asymptotic distribution of regression type estimators of parameters of stable laws

DOI10.1080/03610928208828417zbMath0502.62020OpenAlexW1979270622MaRDI QIDQ3968290

Ioannis A. Koutrouvelis, David Bauer

Publication date: 1982

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928208828417

zbMATH Keywords

empirical characteristic functionstable distributionsregression type estimatorsasymptotic normalized standard deviations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items (4)

Testing for stability based on the empirical characteristic funstion with applications to financial data ⋮ On estimation and testing goodness of fit for \(m\)-dependent stable sequences ⋮ Applying Least Absolute Deviation Regression to Regression-type Estimation of the Index of a Stable Distribution Using the Characteristic Function ⋮ Adaptive estimation of the center of symmetry based on the empirical characteristic function

Cites Work

• Parameter Estimation for Symmetric Stable Distribution
• Tests for normality in stable laws
• An iterative procedure for the estimation of the parameters of stable laws
• The estimation of the parameters of the stable laws
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• The integrated squared error estimation of parameters
• Linear Statistical Inference and its Applications

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