Simple consistent estimators of stable distribution parameters

tables asymptotic efficiency quantiles skewness stable distribution asymptotic variances location characteristic exponent discontinuity leptokurtosis consistent estimators scale estimator Fama-Roll method

Mathematics Subject Classification ID

Point estimation (62F10)

Cited In (only showing first 100 items - show all)

FARIMA with stable innovations model of Great Salt Lake elevation time series
A simple estimator for the characteristic exponent of the stable Paretian distribution
Variational Bayes with synthetic likelihood
Why do we need probability distributions with fat tails to describe the surface strain evolution in reinforced concrete flexural members?
A method for fitting stable autoregressive models using the autocovariation function
Modelling tail risk with tempered stable distributions: an overview
Codifference as a practical tool to measure interdependence
Likelihood-free Bayesian inference for \(\alpha\)-stable models
Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
A simple robust estimation method for the thickness of heavy tails
Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange
A testable version of the Pareto-Stable CAPM
Gaussian copula of stable random vectors and application
Indirect Estimation of α-Stable Distributions and Processes
Stable modeling of value at risk
Monte Carlo inference in econometric models with symmetric stable disturbances
Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
Testing for independence in heavy-tailed time series using the codifference function
A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions
On estimation and testing goodness of fit for \(m\)-dependent stable sequences
Quantifying Model Uncertainties in Complex Systems
Two approaches to adaptation of sample myriad to characteristics of \(S\alpha S\) distribution data
Inference for vast dimensional elliptical distributions
The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions
Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling
Wavelet-based estimation for univariate stable laws
On the applicability of the random walk model with stable steps for forecasting the dynamics of prices of financial tools in the Russian market
Nonparametric inference of discretely sampled stable Lévy processes
Recent results in applications and processing of \(\alpha\)-stable-distributed time series
The Variance Ratio Test with Stable Paretian Errors
Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
Estimation of stable distributions by indirect inference
Identification of moving average process with infinite variance
A behavioral two‐sex marriage model
Comparison of estimators in stable models.
Maximum likelihood estimation of stable Paretian models.
Testing the stable Paretian assumption
\(U\)-statistic for multivariate stable distributions
Linear regression with stably distributed residuals
Study of on-line measurement of traffic self-similarity
A software review for extreme value analysis
Consistent estimation of the structural distribution function
The theory of geometric stable distributions and its use in modeling financial data
Modeling asset returns with alternative stable distributions^*
One-step R-estimation in linear models with stable errors
Estimation of the parameters of multivariate stable distributions
Estimation of stable spectral measures
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Parameter Estimation of Stable Distributions
Modeling chinese stock returns with stable distribution
The method of simulated quantiles
Estimation for multivariate stable distributions with generalized empirical likelihood
Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
Generalized stable models for financial asset returns
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Portmanteau tests for ARMA models with infinite variance
Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters
Wavelet-based estimation for multivariate stable laws
ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
Indirect estimation of \(\alpha \)-stable stochastic volatility models
Geometric stable laws: Estimation and applications
Option pricing for a logstable asset price model
Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
Long range dependence for stable random processes
Empirical processes for infinite variance autoregressive models
Precise tabulation of the maximally-skewed stable distributions and densities
Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
Stable Paretian versus student's \(t\) stock market hypothesis
On the Test of Significance of Linear Multiple Regression Coefficients
Assessing the Performance of Three Methods for Separating Non-Spontaneous and Spontaneous Speech Through Simulation
Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data
Some analytical results on bivariate stable distributions with an application in operational risk
Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
Applying Least Absolute Deviation Regression to Regression-type Estimation of the Index of a Stable Distribution Using the Characteristic Function
Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
Testing the goodness-of-fit of the stable distributions with applications to German Stock Index data and Bitcoin cryptocurrency data
Estimating the parameters of an \({\alpha}\)-stable distribution using the existence of moments of order statistics
AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
Statistical modeling of the Cobb-Douglas production function: a multiple linear regression approach in presence of stable distribution noise
Financial modeling with heavy-tailed stable distributions
Random weighting estimation of stable exponent
Best monotone M-estimators
Thek-factor GARMA Process with Infinite Variance Innovations
Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation
Applications of the characteristic function-based continuum GMM in finance
Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
Empirical cumulant function based parameter estimation in stable laws
Characterization-based approach for construction of goodness-of-fit test for Lévy distribution
LÉVY-STABLE PRODUCTIVITY SHOCKS
Minimum-Distance Estimator for Stable Exponent
Bivariate sub-Gaussian model for stock index returns
Estimating the tail conditional expectation of Walmart stock data
The sparse method of simulated quantiles: An application to portfolio optimization
Explicit and combined estimators for parameters of stable distributions
A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics

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