Simple consistent estimators of stable distribution parameters
From MaRDI portal
Publication:3753263
DOI10.1080/03610918608812563zbMath0612.62028OpenAlexW2060164407MaRDI QIDQ3753263
Publication date: 1986
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918608812563
tablesasymptotic efficiencyquantileslocationdiscontinuityskewnessscale estimatorasymptotic variancesstable distributioncharacteristic exponentleptokurtosisconsistent estimatorsFama-Roll method
Related Items
Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange, A family of nonparametric unit root tests for processes driven by infinite variance innovations, The sparse method of simulated quantiles: An application to portfolio optimization, Characterization-based approach for construction of goodness-of-fit test for Lévy distribution, Portfolio optimization with asset preselection using data envelopment analysis, On uniform inference in nonlinear models with endogeneity, Estimation of the precision matrix of a multivariate elliptically contoured stable distribution, ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE, Inference based on adaptive grid selection of probability transforms, A method for fitting stable autoregressive models using the autocovariation function, Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation, Measure of location-based estimators in simple linear regression, Empirical cumulant function based parameter estimation in stable laws, Applying Least Absolute Deviation Regression to Regression-type Estimation of the Index of a Stable Distribution Using the Characteristic Function, AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT, Indirect inference for locally stationary ARMA processes with stable innovations, Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs, The theory of geometric stable distributions and its use in modeling financial data, Estimation of the parameters of multivariate stable distributions, Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model, Study of on-line measurement of traffic self-similarity, Nonparametric inference of discretely sampled stable Lévy processes, TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA, On the applicability of the random walk model with stable steps for forecasting the dynamics of prices of financial tools in the Russian market, The Variance Ratio Test with Stable Paretian Errors, Linear regression with stably distributed residuals, Bivariate sub-Gaussian model for stock index returns, Quantifying Model Uncertainties in Complex Systems, A Note on Unit Root Tests with Infinite Variance Noise, Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics, Modeling asset returns with alternative stable distributions*, Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model, \(U\)-statistic for multivariate stable distributions, A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions, Estimation for heavy tailed moving average process, Wavelet-based estimation for univariate stable laws, Generalized stable models for financial asset returns, Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters, Recent results in applications and processing of \(\alpha\)-stable-distributed time series, Some analytical results on bivariate stable distributions with an application in operational risk, Applications of the characteristic function-based continuum GMM in finance, Likelihood-free Bayesian inference for \(\alpha\)-stable models, FARIMA with stable innovations model of Great Salt Lake elevation time series, Statistical tools for anomaly detection as a part of predictive maintenance in the mining industry, Indirect Estimation of α-Stable Distributions and Processes, Why do we need probability distributions with fat tails to describe the surface strain evolution in reinforced concrete flexural members?, A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL, LÉVY-STABLE PRODUCTIVITY SHOCKS, Empirical processes for infinite variance autoregressive models, Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations, A software review for extreme value analysis, Stable and generalized-\(t\) distributions and applications, Variational Bayes with synthetic likelihood, Modeling chinese stock returns with stable distribution, Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws, Timing portfolio strategies with exponential Lévy processes, Random weighting estimation of stable exponent, Editors' introduction: Heavy tails and stable Paretian distributions in econometrics, Exact confidence sets and goodness-of-fit methods for stable distributions, On the properties of the coefficient of determination in regression models with infinite variance variables, Estimating the parameters of an \({\alpha}\)-stable distribution using the existence of moments of order statistics, Estimating the tail conditional expectation of Walmart stock data, Portmanteau tests for ARMA models with infinite variance, UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS, Precise tabulation of the maximally-skewed stable distributions and densities, Identification of moving average process with infinite variance, Modelling tail risk with tempered stable distributions: an overview, Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results, Gaussian copula of stable random vectors and application, Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach, One-step R-estimation in linear models with stable errors, The method of simulated quantiles, Estimation for multivariate stable distributions with generalized empirical likelihood, Indirect estimation of \(\alpha \)-stable stochastic volatility models, Filtering and estimation for a class of stochastic volatility models with intractable likelihoods, Testing for independence in heavy-tailed time series using the codifference function, Estimation of stable distributions by indirect inference, Inference for vast dimensional elliptical distributions, A testable version of the Pareto-Stable CAPM, Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling, A behavioral two‐sex marriage model, Two approaches to adaptation of sample myriad to characteristics of \(S\alpha S\) distribution data, Codifference as a practical tool to measure interdependence, Assessing the Performance of Three Methods for Separating Non-Spontaneous and Spontaneous Speech Through Simulation, Parameter Estimation of Stable Distributions, A novel method for control performance assessment with fractional order signal processing and its application to semiconductor manufacturing, MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES, Nonparametric estimation of the kernel function of symmetric stable moving average random functions, Minimum-Distance Estimator for Stable Exponent, Thek-factor GARMA Process with Infinite Variance Innovations, On the Test of Significance of Linear Multiple Regression Coefficients, Series representation of jointly \(S \alpha S\) distribution via symmetric covariations, Wavelet-based estimation for multivariate stable laws, Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models, Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach, The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions, Moment-based estimation for parameters of general inverse subordinator, Best monotone M-estimators, Stable Paretian versus student's \(t\) stock market hypothesis, Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift, Long range dependence for stable random processes, On estimation and testing goodness of fit for \(m\)-dependent stable sequences, A simple robust estimation method for the thickness of heavy tails, Monte Carlo inference in econometric models with symmetric stable disturbances, Option pricing for a logstable asset price model, A simple estimator for the characteristic exponent of the stable Paretian distribution, Geometric stable laws: Estimation and applications, Maximum likelihood estimation of stable Paretian models., Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence, Testing the stable Paretian assumption, Estimation of stable spectral measures, Stable modeling of value at risk, Explicit and combined estimators for parameters of stable distributions, Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics, Unnamed Item
