Maximum likelihood estimation and diagnostics for stable distributions
From MaRDI portal
Recommendations
- Maximum likelihood estimation of stable Paretian models.
- Univariate stable laws in the field of finance -- parameter estimation
- Wavelet-based estimation for univariate stable laws
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- scientific article; zbMATH DE number 1532383
Cited in
(75)- Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach
- The wrapped stable family of distributions as a flexible model for circular data
- Multivariate elliptically contoured stable distributions: theory and estimation
- Testing symmetry under a skew Laplace model.
- Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics
- Maximum likelihood estimation of stable Paretian models.
- Estimation of stable spectral measures
- Hurst exponent of very long birth time series in XX century Romania. Social and religious aspects
- \(U\)-statistic for multivariate stable distributions
- A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions
- Operator geometric stable laws
- Stable and generalized-\(t\) distributions and applications
- A simple approach to maximum intractable likelihood estimation
- Parameter estimation for one-sided heavy-tailed distributions
- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
- Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
- Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
- A mixed bivariate distribution with exponential and geometric marginals
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Estimation of the characteristic exponent of stable laws
- Nonparametric inference for discretely sampled Lévy processes
- A new multivariate model involving geometric sums and maxima of exponentials
- The influence of power law distributions on long-range trial dependency of response times
- Random weighting estimation of stable exponent
- Estimating the parameters of an \({\alpha}\)-stable distribution using the existence of moments of order statistics
- Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
- Nonparametric inference of discretely sampled stable Lévy processes
- 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
- A measure of dependence for stable distributions
- Empirical processes for infinite variance autoregressive models
- Univariate stable distributions: Parameterizations and software
- Estimation for heavy tailed moving average process.
- Empirical Testing Of The Infinite Source Poisson Data Traffic Model
- Modeling of financial processes with a space-time fractional diffusion equation of varying order
- Explicit and combined estimators for parameters of stable distributions
- Indirect inference for locally stationary ARMA processes with stable innovations
- Principal component analysis for α-stable vectors
- Estimation of the parameters of multivariate stable distributions
- Estimating the wrapped stable distribution via indirect inference
- A Bayesian approach for estimating the parameters of an α-stable distribution
- Asymptotics of maximum likelihood estimation for stable law with continuous parameterization
- 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
- Estimating the conditional tail expectation of Walmart stock data
- Maximum likelihood estimation for symmetric -stable Ornstein-Uhlenbeck processes
- A characteristic function-based approach to approximate maximum likelihood estimation
- scientific article; zbMATH DE number 6416868 (Why is no real title available?)
- Parameter Estimation of Stable Distributions
- Wavelet-based estimation for multivariate stable laws
- Empirical cumulant function based parameter estimation in stable laws
- Machine Learning of Space-Fractional Differential Equations
- Linear and nonlinear regression with stable errors
- Model identification for infinite variance autoregressive processes
- The method of simulated quantiles
- Estimation for multivariate stable distributions with generalized empirical likelihood
- Maximum likelihood estimation and uniform inference with sporadic identification failure
- AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
- Asymptotic stochastic dominance rules for sums of i.i.d. random variables
- Characterization-based approach for construction of goodness-of-fit test for Lévy distribution
- Observation-driven filtering of time-varying parameters using moment conditions
- Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
- Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data
- An end-to-end deep learning approach for extracting stochastic dynamical systems with -stable Lévy noise
- A robust test for monotonicity in asset returns
- Financial modeling with heavy-tailed stable distributions
- Parameter estimation of the alpha-stable distribution and applications to financial data
- On the topology of higher-order age-dependent random connection models
- Automatic deforestation detectors based on frequentist statistics and their extensions for other spatial objects
- Wavelet-based estimation for univariate stable laws
- An empirical likelihood approach for symmetric \(\alpha\)-stable processes
- Fast approximate likelihood evaluation for stable VARFIMA processes
- Parametric and nonparametric models and methods in financial econometrics
- Volatility estimators for discretely sampled Lévy processes
This page was built for publication: Maximum likelihood estimation and diagnostics for stable distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2738737)