Estimation of Stable Law Parameters: Stock Price Behavior Application

DOI10.2307/2285957MaRDI QIDQ4064852zbMATH OpenOpenAlexFDO

Authors Robert Leitch, A. S. Paulson

Publication date 1975

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2285957

Mathematics Subject Classification ID

Point estimation (62F10) Sums of independent random variables; random walks (60G50) Trade models (91B60)

Cited in

(8)

• Method-of-moments estimators of stable distribution parameters
• Monte Carlo inference in econometric models with symmetric stable disturbances
• The weak approximation of the empirical characteristic function process when parameters are estimated
• Minimum-Distance Estimator for Stable Exponent
• WITHDRAWAL SUCCESS ESTIMATION
• Comparison of estimators in stable models.
• An estimation procedure for the Linnik distribution
• Efficient posterior integration in stable paretian models

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