Empirical cumulant function based parameter estimation in stable laws

DOI10.12697/ACUTM.2018.22.26zbMath1419.60017OpenAlexW2907189803MaRDI QIDQ5224271

Annika Krutto

Publication date: 23 July 2019

Published in: Acta et Commentationes Universitatis Tartuensis de Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12697/acutm.2018.22.26

zbMATH Keywords

asymptotic normalitycharacteristic functioncovariance matrixpoint estimationMonte-Carlo simulationcumulant functionargument selectiongeneral stable law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Characteristic functions; other transforms (60E10)

Related Items (3)

Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws ⋮ Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws ⋮ Estimation of multivariate generalized gamma convolutions through Laguerre expansions

Uses Software

• R
• BRENT

Cites Work

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