Indirect Estimation of α-Stable Distributions and Processes
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Publication:3499435
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Cites work
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 3090543 (Why is no real title available?)
- A Method for Simulating Stable Random Variables
- Bayesian Inference for Stable Distributions
- Bayesian Inference for Time Series with Stable Innovations
- Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
- Constrained Indirect Estimation
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Estimating Functions in Indirect Inference
- Estimation of stable distributions by indirect inference
- Maximum likelihood estimation of stable Paretian models.
- Numerical calculation of stable densities and distribution functions
- On Bayesian Modeling of Fat Tails and Skewness
- On estimation and testing goodness of fit for m-dependent stable sequences
- On some expansions of stable distribution functions
- On the relation between GARCH and stable processes
- Parameter estimation for ARMA models with infinite variance innovations
- Simple consistent estimators of stable distribution parameters
Cited in
(18)- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Estimating stable latent factor models by indirect inference
- Testing conditional asymmetry: a residual-based approach
- Uncertainty quantification with \(\alpha\)-stable-process models
- Estimation of stability index for symmetric {\alpha}-stable distribution using quantile conditional variance ratios
- Estimation of stable distributions by indirect inference
- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
- Method to estimate index of skewness and dispersion of \(\alpha \)-stable distribution
- Indirect inference for locally stationary ARMA processes with stable innovations
- The method of simulated quantiles
- Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
- Estimating the wrapped stable distribution via indirect inference
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- scientific article; zbMATH DE number 5370643 (Why is no real title available?)
- On the skewness parameter estimation for stable distributions
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
- Indirect estimation of elliptical stable distributions
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
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