High-Efficiency Estimation for the Positive Stable Laws

DOI10.2307/2287521MaRDI QIDQ3918900zbMATH OpenOpenAlexFDO

Authors Bruce Brown, Peter J. Brockwell

Publication date 1981

Full work available at URL https://doi.org/10.2307/2287521

zbMATH Keywords

asymptotic efficiencyCramer-Rao lower boundinformation matrixmoment estimationmoment methodstable distribution

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Probabilistic methods, stochastic differential equations (65C99)

Cited in

(11)

• The moment generating function has its moments
• Monte Carlo inference in econometric models with symmetric stable disturbances
• Comparison of estimators in stable models.
• Moment generating function based estimators with some optimal properties
• Testing exponentiality against NBUL alternatives using positive and negative fractional moments
• Empirical Characteristic Function Estimation and Its Applications
• On statistical transform methods and their efficiency
• Phase transitions for random geometric preferential attachment graphs
• Inference for the positive stable laws based on a special quadratic distance
• Testing the goodness-of-fit of the stable distributions with applications to German Stock Index data and Bitcoin cryptocurrency data
• The logit-stable distributions and latent utility scales in categorical data applications

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