Parameter Estimation of Stable Distributions

DOI10.1080/03610920500439992zbMath1084.62019MaRDI QIDQ5201486

Zhaozhi Fan

Publication date: 19 April 2006

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920500439992

zbMATH Keywords

tables; simulation; asymptotic normality; \(U\)-statistics; stable distribution; stable index

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62F12: Asymptotic properties of parametric estimators

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Estimation of the parameters of multivariate stable distributions, Detection of changes in a random financial sequence with a stable distribution, Empirical cumulant function based parameter estimation in stable laws, A heavy-tailed empirical Bayes method for replicated microarray data, \(U\)-statistic for multivariate stable distributions, Nonparametric estimation of the kernel function of symmetric stable moving average random functions, Nonparametric inference of discretely sampled stable Lévy processes, Minimum-Distance Estimator for Stable Exponent

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