Asymptotics of maximum likelihood estimation for stable law with continuous parameterization

DOI10.1080/03610926.2019.1710199OpenAlexW3000924394MaRDI QIDQ5078578

Muneya Matsui

Publication date: 23 May 2022

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

Full work available at URL: https://arxiv.org/abs/1901.09303

zbMATH Keywords

characteristic functionmaximum likelihood estimatorstable distributionsFisher information matrixscore functions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Statistics (62-XX) Approximations to statistical distributions (nonasymptotic) (62E17)

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Limit theorems for quasi-arithmetic means of random variables with applications to point estimations for the Cauchy distribution ⋮ Subexponentialiy of densities of infinitely divisible distributions

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