Empirical cumulant function based parameter estimation in stable laws

DOI10.12697/ACUTM.2018.22.26MaRDI QIDQ5224271zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• A Method for Simulating Stable Random Variables
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• Selected Topics in Characteristic Functions
• Simple consistent estimators of stable distribution parameters
• Statistical Tools for Finance and Insurance
• The empirical characteristic function and its applications
• The estimation of the parameters of the stable laws
• The integrated squared error estimation of parameters

Cited in

(8)

• scientific article; zbMATH DE number 1301883 (Why is no real title available?)
• A heavy-tailed model for analyzing miRNA-seq raw read counts
• Parameter Estimation for the Bateman Function via Moments of the Empirical Curve
• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• Regression with an infinite number of observations applied to estimating the parameters of the stable distribution using the empirical characteristic function
• Estimation of multivariate generalized gamma convolutions through Laguerre expansions
• Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws
• scientific article; zbMATH DE number 7047712 (Why is no real title available?)

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