Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters

DOI10.1080/03610919008812928MaRDI QIDQ4019144zbMATH OpenOpenAlexFDO

Authors B. Wade Brorsen, Seung-Ryong Yang

Publication date 16 January 1993

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919008812928

Mathematics Subject Classification ID

Point estimation (62F10)

Cites work

• Simple consistent estimators of stable distribution parameters
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• The estimation of the parameters of the stable laws

Cited in

(11)

• Maximum likelihood estimation of stable Paretian models.
• Operator geometric stable laws
• Recent results in applications and processing of -stable-distributed time series
• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
• Estimation of the parameters of fractional-stable laws by the method of minimum distance
• Linear regression with stably distributed residuals
• Detection of changes in a random financial sequence with a stable distribution
• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
• Inference based on adaptive grid selection of probability transforms

Describes a project that uses

Uses Software

• MINOS

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