Parameter Estimation for Symmetric Stable Distribution

DOI10.2307/2526249MaRDI QIDQ3893133zbMATH OpenOpenAlexFDO

Authors Ruth W. Arad

Publication date 1980

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2526249

zbMATH Keywords

jackknifing procedureslinearization of sample characteristic functionparameter estimationsymmetric stable distribution

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20)

Cited in

(6)

• Efficient posterior integration in stable paretian models
• Stable modeling of value at risk
• Empirical Characteristic Function Estimation and Its Applications
• Modified weighted squared error estimation procedures with special emphasis on the stable laws
• Asymptotic distribution of regression type estimators of parameters of stable laws
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

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