Comparison of estimators in stable models.
From MaRDI portal
Publication:1596874
DOI10.1016/S0895-7177(99)00098-9zbMath1098.62518MaRDI QIDQ1596874
Ludger Rüschendorf, Reinhard Hoepfner
Publication date: 5 May 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Related Items (6)
Tempered stable Lévy motion driven by stable subordinator ⋮ Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes ⋮ Random weighting estimation of stable exponent ⋮ Minimum-Distance Estimator for Stable Exponent ⋮ Empirical cumulant function based parameter estimation in stable laws ⋮ Estimating the index of a stable law via the pot-method
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
- On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\)
- Limit behaviour of the empirical characteristic function
- A simple general approach to inference about the tail of a distribution
- Two comments on parameter estimation in stable processes
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- Tail estimation of the stable index \(\alpha\)
- An Introduction to Stochastic Orders, by Félix Belzunce, Carolina Martínez and Julio Mulero. Academic Press, Elsevier Ltd. 2016. Total number of pages: 157. ISBN: 978-0-12-803768-3 (Paperback)
- A General Approach to the Optimality of Minimum Distance Estimators
- ESTIMATION FOR THE POSITIVE STABLE LAWS, I
- High-Efficiency Estimation for the Positive Stable Laws
- Estimation of Stable Law Parameters: Stock Price Behavior Application
- The estimation of the parameters of the stable laws
- Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
- The integrated squared error estimation of parameters
- Modeling asset returns with alternative stable distributions*
- Estimating a Stability Parameter: Asymptotics and Simulations
- Estimation in Univariate and Multivariate Stable Distributions
This page was built for publication: Comparison of estimators in stable models.
