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

DOI10.1080/02664760120098793zbMath1346.62106OpenAlexW2073935646MaRDI 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

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (2)

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

Uses Software

• SYMSTB

Cites Work

• Unnamed Item
• 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

This page was built for publication: Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange