Parameter Estimation of Stable Distributions

DOI10.1080/03610920500439992zbMATH Open1084.62019OpenAlexW2081290935MaRDI QIDQ5201486FDOQ5201486

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

zbMATH Keywords

tablesasymptotic normalitysimulation\(U\)-statisticsstable distributionstable index

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12)

Cites Work

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• A Method for Simulating Stable Random Variables
• Statistical inference using extreme order statistics
• 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
• 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
• 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
• Estimating the index of a stable law via the pot-method

Cited In (22)

• Title not available (Why is that?)
• On the estimation of the parameters of multivariate stable distributions
• 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

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• Explicit and combined estimators for parameters of stable distributions 👍 👎
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• Statistical estimation of parameters of fractionally stable distributions 👍 👎
• Estimation of stable distributions by indirect inference 👍 👎

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