Inference for the positive stable laws based on a special quadratic distance

DOI10.1016/J.STAMET.2008.05.004zbMATH Open1220.62033OpenAlexW2137357932MaRDI QIDQ537232FDOQ537232

Louis G. Doray, Andrew Luong

Publication date: 19 May 2011

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2008.05.004

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zbMATH Keywords

Laplace transformasymptotic normalityconsistencyefficiencygoodness-of-fitnegative momentsGauss-Newton algorithmmoment-cumulant estimatorsquadratic distance

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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• Quasi-likelihood and its application. A general approach to optimal parameter estimation
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• A triptych of discrete distributions related to the stable law
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• Stable densities under change of scale and total variation inequalities
• Survival models for heterogeneous populations derived from stable distributions
• The integrated squared error estimation of parameters
• Bounds and expansions for Fisher information when the moments are known
• On statistical transform methods and their efficiency
• Minimum-distance methods based on quadratic distances for transforms
• ESTIMATION FOR THE POSITIVE STABLE LAWS, I
• High-Efficiency Estimation for the Positive Stable Laws

Cited In (9)

• Inference for the Generalized Normal Laplace Distribution
• Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates
• General quadratic distance methods for discrete distributions definable recursively.
• Some simple method of estimation for the parameters of the discrete stable distribution with the probability generating function
• Analyzing panel count data with a dependent observation process and a terminal event
• Semiparametric analysis of multivariate panel count data with dependent observation processes and a terminal event
• A Marginal Additive Rates Model for Recurrent Event Data with a Terminal Event
• The compound truncated Poisson Cauchy model: a descriptor for multimodal data
• Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications

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