Geometric stable laws: Estimation and applications

DOI10.1016/S0895-7177(99)00107-7zbMath0990.62022OpenAlexW2106832008WikidataQ60060187 ScholiaQ60060187MaRDI QIDQ1596880

Tomasz J. Kozubowski

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00107-7

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Point estimation (62F10)

Related Items (9)

A note on power-law cross-correlated processes ⋮ The theory of geometric stable distributions and its use in modeling financial data ⋮ Linnik Lévy process and some extensions ⋮ An estimation procedure for the Linnik distribution ⋮ An explicit numerical scheme for solving fractional order compartment models from the master equations of a stochastic process ⋮ Modeling chinese stock returns with stable distribution ⋮ Limit theorems for continuous-time random walks with infinite mean waiting times ⋮ Exponential mixture representation of geometric stable densities ⋮ Confined random motion with Laplace and Linnik statistics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A multivariate Linnik distribution
• The theory of geometric stable distributions and its use in modeling financial data
• Generalized stable models for financial asset returns
• Asymptotic methods in reliability theory: a review
• Simple consistent estimators of stable distribution parameters
• Regression-Type Estimation of the Parameters of Stable Laws
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The estimation of the parameters of the stable laws
• The integrated squared error estimation of parameters
• Modeling asset returns with alternative stable distributions^*
• First Passage Times for Combinations of Random Loads
• Parameter Estimates for Symmetric Stable Distributions
• Estimation in Univariate and Multivariate Stable Distributions

This page was built for publication: Geometric stable laws: Estimation and applications