Efficient and robust estimation for the one-sided stable distribution of index \({1}/{2}\)

DOI10.1016/J.SPL.2003.10.013zbMath1102.62323OpenAlexW2065911706MaRDI QIDQ1427712

Byron J. T. Morgan, Panagiotis Besbeas

Publication date: 14 March 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.10.013

zbMATH Keywords

Laplace transformRobustnessStable lawvariable selectionInfluence functionEmpirical transform

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Goodness-of-fit procedures for compound distributions with an application to insurance ⋮ Data-Transformation and Test of Fit for the Generalized Pareto Hypothesis

Cites Work

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• Integrated squared error estimation of Cauchy parameters
• Integrated Distance Estimators for Linear Models Applied to Some Published Data Sets
• On Some Fourier Methods for Inference
• Estimating Mixtures of Normal Distributions and Switching Regressions
• Empirical Transform Estimation for Indexed Stochastic Models
• Influence for empirical transforms
• Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange
• Robust Statistics

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