Parameter Estimation of Stable Distributions
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Publication:5201486
DOI10.1080/03610920500439992zbMATH Open1084.62019OpenAlexW2081290935MaRDI QIDQ5201486FDOQ5201486
Authors: Zhaozhi Fan 
Publication date: 19 April 2006
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610920500439992
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Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12)
Cites Work
- A Method for Simulating Stable Random Variables
- Statistical inference using extreme order statistics
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- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- A simple robust estimation method for the thickness of heavy tails
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- Modeling asset returns with alternative stable distributions*
- Kernel estimates of the tail index of a distribution
- Laws of large numbers for sums of extreme values
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Parameter Estimates for Symmetric Stable Distributions
- Simple consistent estimators of stable distribution parameters
- Estimation in Univariate and Multivariate Stable Distributions
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- Central limit theorems for sums of extreme values
- Tail estimates motivated by extreme value theory
- Estimating the index of a stable distribution
- Estimation problems for distributions with heavy tails
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- Estimating the index of a stable law via the pot-method
Cited In (25)
- Title not available (Why is that?)
- On the estimation of the parameters of multivariate stable distributions
- Indirect Estimation of α-Stable Distributions and Processes
- Univariate stable laws in the field of finance -- parameter estimation
- Testing the goodness-of-fit of the stable distributions with applications to German Stock Index data and Bitcoin cryptocurrency data
- Nonparametric inference of discretely sampled stable Lévy processes
- Estimation of parameters of fractional stable distributions
- Empirical cumulant function based parameter estimation in stable laws
- Minimum-Distance Estimator for Stable Exponent
- Nonparametric estimation of the kernel function of symmetric stable moving average random functions
- Detection of changes in a random financial sequence with a stable distribution
- \(U\)-statistic for multivariate stable distributions
- Estimating the index of a stable distribution
- Estimation of parameters of a spherical invariant stable distribution
- A heavy-tailed empirical Bayes method for replicated microarray data
- Consistent estimation of the structural distribution function
- Estimation of the parameters of multivariate stable distributions
- Title not available (Why is that?)
- Title not available (Why is that?)
- Statistical estimation of parameters of fractionally stable distributions
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Parameter estimation and random number generation to stable distributions
- Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
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