An estimation procedure for the Linnik distribution

DOI10.1007/S00362-011-0367-4MaRDI QIDQ1926095zbMATH OpenOpenAlexWikidataFDO

Authors Dexter O. Cahoy

Publication date 27 December 2012

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.4093

zbMATH Keywords

economicsestimationfinancial modelinggeometric stableLinnik

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10)

Abstract: We propose estimators for the parameters of the Linnik L$(alpha,gamma)$ distribution. The estimators are derived from the moments of the log-transformed Linnik distributed random variable, and are shown to be asymptotically unbiased. The estimation algorithm is computationally simple and less restrictive. Our procedure is also tested using simulated data.

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Cites work

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Cited in

(5)

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