Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws

DOI10.1007/s11009-021-09908-zzbMath1493.60040arXiv2008.04423OpenAlexW3212560064MaRDI QIDQ2157427

Annika Krutto, Jüri Lember

Publication date: 28 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.04423

zbMATH Keywords

parameter estimationstable lawslarge deviation inequalities

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Parametric tolerance and confidence regions (62F25) Point estimation (62F10)

Cites Work

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• Adaptive estimation of and oracle inequalities for probability densities and characteristic functions
• Limit behaviour of the empirical characteristic function
• The empirical characteristic function and its applications
• Statistical methods in finance
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• Numerical calculation of stable densities and distribution functions
• Asymptotic Statistics
• Selected Topics in Characteristic Functions
• Univariate Stable Distributions
• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• Empirical cumulant function based parameter estimation in stable laws
• Estimation in Univariate and Multivariate Stable Distributions

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