Empirical cumulant function based parameter estimation in stable laws

DOI10.12697/ACUTM.2018.22.26zbMATH Open1419.60017OpenAlexW2907189803MaRDI QIDQ5224271FDOQ5224271

Authors: Annika Krutto 

Publication date: 23 July 2019

Published in: Acta et Commentationes Universitatis Tartuensis de Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12697/acutm.2018.22.26

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zbMATH Keywords

asymptotic normalitycharacteristic functioncovariance matrixpoint estimationMonte-Carlo simulationcumulant functionargument selectiongeneral stable law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Point estimation (62F10)

Cites Work

• The empirical characteristic function and its applications
• Title not available (Why is that?)
• Regression-Type Estimation of the Parameters of Stable Laws
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• The estimation of the parameters of the stable laws
• A Method for Simulating Stable Random Variables
• Asymptotic Statistics
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• Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
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• Selected Topics in Characteristic Functions
• Chance and Stability
• Density parameter estimation of skewed α-stable distributions
• Maximum likelihood estimation of stable Paretian models.
• The integrated squared error estimation of parameters
• Simple consistent estimators of stable distribution parameters
• An iterative procedure for the estimation of the parameters of stable laws
• Estimation in Univariate and Multivariate Stable Distributions
• Parameter Estimation of Stable Distributions
• Statistical Tools for Finance and Insurance
• Comparison of estimators in stable models.
• A direct approach to the stable distributions

Cited In (8)

• Title not available (Why is that?)
• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• A heavy-tailed model for analyzing miRNA-seq raw read counts
• Parameter Estimation for the Bateman Function via Moments of the Empirical Curve
• Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws
• Regression with an infinite number of observations applied to estimating the parameters of the stable distribution using the empirical characteristic function
• Title not available (Why is that?)
• Estimation of multivariate generalized gamma convolutions through Laguerre expansions

Uses Software

• R
• BRENT

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