Classification rules for stable distributions
Stable distributions are a popular model for stock prices. This paper is concerned with discrimination between two stable distributions, or with the classification of a new observation into one of two stable distributions. Estimation of parameters is considered. Quantile-based discrimination between two stable laws with the same (unknown) index \(\alpha\) is proposed. Fisher-type rules are described for the general case. Computer code in C is included. A numerical example is described.
scientific article; zbMATH DE number 1755428