Comparison of estimators in stable models.
From MaRDI portal
Recommendations
- Tail estimation of the stable index \(\alpha\)
- A simple estimator for the characteristic exponent of the stable Paretian distribution
- A tail estimator for the index of the stable paretian distribution∗
- Comparison of tail index estimators
- Simple consistent estimators of stable distribution parameters
Cites work
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 3828921 (Why is no real title available?)
- scientific article; zbMATH DE number 3690467 (Why is no real title available?)
- scientific article; zbMATH DE number 3733065 (Why is no real title available?)
- scientific article; zbMATH DE number 3456236 (Why is no real title available?)
- scientific article; zbMATH DE number 3637102 (Why is no real title available?)
- scientific article; zbMATH DE number 739485 (Why is no real title available?)
- scientific article; zbMATH DE number 3255204 (Why is no real title available?)
- A General Approach to the Optimality of Minimum Distance Estimators
- A simple general approach to inference about the tail of a distribution
- Book review of: F. Belzunce et al., An introduction to stochastic orders.
- ESTIMATION FOR THE POSITIVE STABLE LAWS, I
- Estimating a Stability Parameter: Asymptotics and Simulations
- Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation of Stable Law Parameters: Stock Price Behavior Application
- High-Efficiency Estimation for the Positive Stable Laws
- Limit behaviour of the empirical characteristic function
- Modeling asset returns with alternative stable distributions*
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\)
- Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
- Tail estimation of the stable index \(\alpha\)
- The estimation of the parameters of the stable laws
- The integrated squared error estimation of parameters
- Two comments on parameter estimation in stable processes
Cited in
(18)- Estimation problems for distributions with heavy tails
- Role of stylized features in constructing better estimators
- Minimum-Distance Estimator for Stable Exponent
- Model comparisons in unstable environments
- Random weighting estimation of stable exponent
- Modified weighted squared error estimation procedures with special emphasis on the stable laws
- scientific article; zbMATH DE number 1215457 (Why is no real title available?)
- Simple consistent estimators of stable distribution parameters
- Empirical cumulant function based parameter estimation in stable laws
- Tempered stable Lévy motion driven by stable subordinator
- Estimating the index of a stable law via the pot-method
- scientific article; zbMATH DE number 903869 (Why is no real title available?)
- Comparison of statistical estimators for the parameters of some distributions.
- A new estimator of skewness parameter in stable distribution
- Weighted estimation of the location parameter of a symmetric stable distribution: theory and methods
- Stabilization of Subba Rao-Liporace models.
- On comparison of the tail index of heavy tail distributions using Pitman's measure of closeness
- Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
This page was built for publication: Comparison of estimators in stable models.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1596874)
