Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters

DOI10.1080/03610919008812928zbMath0850.62248OpenAlexW2127670157MaRDI QIDQ4019144

Seung-Ryong Yang, B. Wade Brorsen

Publication date: 16 January 1993

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919008812928

Mathematics Subject Classification ID

Point estimation (62F10)

Related Items (11)

On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes ⋮ Estimation of the parameters of fractional-stable laws by the method of minimum distance ⋮ Linear regression with stably distributed residuals ⋮ Recent results in applications and processing of \(\alpha\)-stable-distributed time series ⋮ Detection of changes in a random financial sequence with a stable distribution ⋮ Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws ⋮ Inference based on adaptive grid selection of probability transforms ⋮ Operator geometric stable laws ⋮ Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives ⋮ Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift ⋮ Maximum likelihood estimation of stable Paretian models.

Uses Software

• MINOS

Cites Work

• Simple consistent estimators of stable distribution parameters
• The estimation of the parameters of the stable laws
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples

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