Asymptotic distribution of regression type estimators of parameters of stable laws

DOI10.1080/03610928208828417MaRDI QIDQ3968290zbMATH OpenOpenAlexFDO

Authors Ioannis A. Koutrouvelis, David Bauer

Publication date 1982

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928208828417

zbMATH Keywords

stable distributionsempirical characteristic functionregression type estimatorsasymptotic normalized standard deviations

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

Cites work

• An iterative procedure for the estimation of the parameters of stable laws
• Linear Statistical Inference and its Applications
• Parameter Estimation for Symmetric Stable Distribution
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Tests for normality in stable laws
• The estimation of the parameters of the stable laws
• The integrated squared error estimation of parameters

Cited in

(4)

• On estimation and testing goodness of fit for m-dependent stable sequences
• Applying least absolute deviation regression to regression-type estimation of the index of a stable distribution using the characteristic function
• Adaptive estimation of the center of symmetry based on the empirical characteristic function
• Testing for stability based on the empirical characteristic funstion with applications to financial data

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