Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
From MaRDI portal
Publication:5129830
DOI10.1063/5.0013148zbMath1456.62034arXiv2005.11499OpenAlexW3026604174WikidataQ98203126 ScholiaQ98203126MaRDI QIDQ5129830
Publication date: 2 November 2020
Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.11499
Point estimation (62F10) Characteristic functions; other transforms (60E10) Statistical ranking and selection procedures (62F07)
Related Items
Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws ⋮ Elucidation of Chaotic Market Hypothesis Based on Ergodic Theory
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation of stable distributions by indirect inference
- Modeling chinese stock returns with stable distribution
- Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach
- Maximum likelihood estimation of stable Paretian models.
- An efficient series approximation for the Lévy \(\alpha\)-stable symmetric distribution
- A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
- Simple consistent estimators of stable distribution parameters
- Regression-Type Estimation of the Parameters of Stable Laws
- Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters
- The estimation of the parameters of the stable laws
- A Method for Simulating Stable Random Variables
- The integrated squared error estimation of parameters
- Numerical calculation of stable densities and distribution functions
- Statistical Tools for Finance and Insurance
- Empirical cumulant function based parameter estimation in stable laws
- Density parameter estimation of skewed α-stable distributions
- Parameter Estimates for Symmetric Stable Distributions
- Estimation in Univariate and Multivariate Stable Distributions
