Asymptotics of maximum likelihood estimation for stable law with continuous parameterization

DOI10.1080/03610926.2019.1710199MaRDI QIDQ5078578zbMATH OpenOpenAlexFDO

Authors Muneya Matsui

Publication date 23 May 2022

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

Full work available at URL https://arxiv.org/abs/1901.09303

zbMATH Keywords

characteristic functionFisher information matrixmaximum likelihood estimatorscore functionsstable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Statistics (62-XX) Approximations to statistical distributions (nonasymptotic) (62E17) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12)

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Cited in

(4)

• Limit theorems for quasi-arithmetic means of random variables with applications to point estimations for the Cauchy distribution
• Asymptotic properties of maximum likelihood estimator for some discrete distributions generated by
• Subexponentialiy of densities of infinitely divisible distributions
• On estimation of skewed stable linear regression

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