Parameter Estimation of Stable Distributions
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Cites work
- scientific article; zbMATH DE number 1639862 (Why is no real title available?)
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 4005331 (Why is no real title available?)
- scientific article; zbMATH DE number 3656951 (Why is no real title available?)
- scientific article; zbMATH DE number 1301883 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- A Method for Simulating Stable Random Variables
- A simple general approach to inference about the tail of a distribution
- A simple robust estimation method for the thickness of heavy tails
- Adaptive estimates of parameters of regular variation
- Central limit theorems for sums of extreme values
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimating the index of a stable distribution
- Estimating the index of a stable law via the pot-method
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation problems for distributions with heavy tails
- Kernel estimates of the tail index of a distribution
- Laws of large numbers for sums of extreme values
- Modeling asset returns with alternative stable distributions*
- Parameter Estimates for Symmetric Stable Distributions
- Simple consistent estimators of stable distribution parameters
- Statistical inference using extreme order statistics
- Tail estimates motivated by extreme value theory
Cited in
(35)- scientific article; zbMATH DE number 7047712 (Why is no real title available?)
- On the estimation of the parameters of multivariate stable distributions
- Indirect Estimation of α-Stable Distributions and Processes
- Parameter estimation for one-sided heavy-tailed distributions
- A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions
- 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
- Robust and efficient estimation of the shape parameter of alpha-stable distributions
- Estimation of parameters of fractional stable distributions
- Nonparametric inference of discretely sampled stable Lévy processes
- Empirical cumulant function based parameter estimation in stable laws
- Minimum-Distance Estimator for Stable Exponent
- Estimation of stability index for symmetric {\alpha}-stable distribution using quantile conditional variance ratios
- Estimation of stable distributions by indirect inference
- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
- Nonparametric estimation of the kernel function of symmetric stable moving average random functions
- \(U\)-statistic for multivariate stable distributions
- Detection of changes in a random financial sequence with a stable distribution
- Estimating the index of a stable distribution
- Method to estimate index of skewness and dispersion of \(\alpha \)-stable distribution
- A heavy-tailed empirical Bayes method for replicated microarray data
- Estimation of parameters of a spherical invariant stable distribution
- Consistent estimation of the structural distribution function
- Estimation of the parameters of multivariate stable distributions
- Parameter estimation of the alpha-stable distribution and applications to financial data
- scientific article; zbMATH DE number 6387498 (Why is no real title available?)
- scientific article; zbMATH DE number 6416868 (Why is no real title available?)
- Statistical estimation of parameters of fractionally stable distributions
- scientific article; zbMATH DE number 1301883 (Why is no real title available?)
- scientific article; zbMATH DE number 1301886 (Why is no real title available?)
- scientific article; zbMATH DE number 5371346 (Why is no real title available?)
- On the skewness parameter estimation for stable distributions
- Parameter estimation and random number generation to stable distributions
- A new estimator of skewness parameter in stable distribution
- Estimating the stable index in order to measure tail thickness: a critique
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