Estimation of Stable Law Parameters: Stock Price Behavior Application

DOI10.2307/2285957zbMath0307.62022OpenAlexW4249384787MaRDI QIDQ4064852

Robert Leitch, A. S. Paulson

Publication date: 1975

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2285957

Mathematics Subject Classification ID

Point estimation (62F10) Sums of independent random variables; random walks (60G50) Trade models (91B60)

Related Items (8)

An estimation procedure for the Linnik distribution ⋮ WITHDRAWAL SUCCESS ESTIMATION ⋮ Method-of-moments estimators of stable distribution parameters ⋮ The weak approximation of the empirical characteristic function process when parameters are estimated ⋮ Minimum-Distance Estimator for Stable Exponent ⋮ Efficient posterior integration in stable paretian models ⋮ Monte Carlo inference in econometric models with symmetric stable disturbances ⋮ Comparison of estimators in stable models.

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