Applying Least Absolute Deviation Regression to Regression-type Estimation of the Index of a Stable Distribution Using the Characteristic Function

DOI10.1080/03610918.2013.842588zbMath1474.62029arXiv1307.8270OpenAlexW2034519624MaRDI QIDQ5860248

J. Martin van Zyl

Publication date: 19 November 2021

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

Full work available at URL: https://arxiv.org/abs/1307.8270

zbMATH Keywords

estimationcharacteristic functionstable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• Statistical Tools for Finance and Insurance
• Simple consistent estimators of stable distribution parameters
• Regression-Type Estimation of the Parameters of Stable Laws
• On Some Fourier Methods for Inference
• Asymptotic distribution of regression type estimators of parameters of stable laws
• The estimation of the parameters of the stable laws
• Parameter Estimates for Symmetric Stable Distributions

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