Asymptotics of maximum likelihood estimation for stable law with continuous parameterization

DOI10.1080/03610926.2019.1710199MaRDI 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 function; maximum likelihood estimator; stable distributions; Fisher information matrix; score functions

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62-XX: Statistics

62E17: Approximations to statistical distributions (nonasymptotic)