Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange

DOI10.1080/02664760120098793zbMath1346.62106MaRDI QIDQ5309309

Zbigniew Kominek

Publication date: 9 October 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760120098793

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F10: Point estimation

Related Items

Consistent tests for symmetric stability with finite mean based on the empirical characteristic function, Efficient and robust estimation for the one-sided stable distribution of index \({1}/{2}\)

Uses Software

• SYMSTB

Cites Work

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• Simple consistent estimators of stable distribution parameters
• The estimation of the parameters of the stable laws
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• A Method for Simulating Stable Random Variables
• Modeling asset returns with alternative stable distributions^*
• Bayesian Inference for Stable Distributions
• On the Choice of the Number of Class Intervals in the Application of the Chi Square Test