Simple consistent estimators of stable distribution parameters
From MaRDI portal
Recommendations
Cited in
(only showing first 100 items - show all)- scientific article; zbMATH DE number 3917462 (Why is no real title available?)
- scientific article; zbMATH DE number 7564078 (Why is no real title available?)
- Estimation of stable spectral measures
- Estimation of the parameters of multivariate stable distributions
- Parameter estimation of the alpha-stable distribution and applications to financial data
- Stable and generalized-\(t\) distributions and applications
- Modified weighted squared error estimation procedures with special emphasis on the stable laws
- Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model
- Modeling chinese stock returns with stable distribution
- The method of simulated quantiles
- scientific article; zbMATH DE number 6416868 (Why is no real title available?)
- Estimation for multivariate stable distributions with generalized empirical likelihood
- Inference based on adaptive grid selection of probability transforms
- Statistical tools for anomaly detection as a part of predictive maintenance in the mining industry
- Parameter Estimation of Stable Distributions
- A Note on Unit Root Tests with Infinite Variance Noise
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Editors' introduction: Heavy tails and stable Paretian distributions in econometrics
- Environmental Stochasticity Driving the Extinction of Top Predators in a Food Chain Chemostat Model
- Generalized stable models for financial asset returns
- scientific article; zbMATH DE number 903869 (Why is no real title available?)
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Portmanteau tests for ARMA models with infinite variance
- Estimating the conditional tail expectation of Walmart stock data
- Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters
- Moment-based estimation for parameters of general inverse subordinator
- Portfolio optimization with asset preselection using data envelopment analysis
- Wavelet-based estimation for multivariate stable laws
- On the skewness parameter estimation for stable distributions
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
- Geometric stable laws: Estimation and applications
- Option pricing for a logstable asset price model
- Empirical processes for infinite variance autoregressive models
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
- On the properties of the coefficient of determination in regression models with infinite variance variables
- Precise tabulation of the maximally-skewed stable distributions and densities
- An end-to-end deep learning approach for extracting stochastic dynamical systems with -stable Lévy noise
- Timing portfolio strategies with exponential Lévy processes
- Long range dependence for stable random processes
- FARIMA with stable innovations model of Great Salt Lake elevation time series
- Measure of location-based estimators in simple linear regression
- A simple estimator for the characteristic exponent of the stable Paretian distribution
- Stable Paretian versus student's \(t\) stock market hypothesis
- Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
- Why do we need probability distributions with fat tails to describe the surface strain evolution in reinforced concrete flexural members?
- Variational Bayes with synthetic likelihood
- Moment-type estimation for positive stable laws with applications
- On the Test of Significance of Linear Multiple Regression Coefficients
- The k-factor GARMA process with infinite variance innovations
- Assessing the Performance of Three Methods for Separating Non-Spontaneous and Spontaneous Speech Through Simulation
- Parameter estimation for stable distributions and their mixture
- Modelling tail risk with tempered stable distributions: an overview
- Codifference as a practical tool to measure interdependence
- A method for fitting stable autoregressive models using the autocovariation function
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- A simple robust estimation method for the thickness of heavy tails
- Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
- Some analytical results on bivariate stable distributions with an application in operational risk
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data
- Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
- A testable version of the Pareto-Stable CAPM
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange
- Stable modeling of value at risk
- Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
- Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- Indirect Estimation of α-Stable Distributions and Processes
- Gaussian copula of stable random vectors and application
- Monte Carlo inference in econometric models with symmetric stable disturbances
- Testing for independence in heavy-tailed time series using the codifference function
- Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
- Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
- A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions
- On estimation and testing goodness of fit for m-dependent stable sequences
- Univariate stable laws in the field of finance -- parameter estimation
- Estimation of and inference about the expected shortfall for time series with infinite variance
- Estimating the parameters of an \({\alpha}\)-stable distribution using the existence of moments of order statistics
- Quantifying Model Uncertainties in Complex Systems
- Two approaches to adaptation of sample myriad to characteristics of \(S\alpha S\) distribution data
- 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
- Inference for vast dimensional elliptical distributions
- The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions
- AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
- Random weighting estimation of stable exponent
- Applications of the characteristic function-based continuum GMM in finance
- Best monotone M-estimators
- Statistical modeling of the Cobb-Douglas production function: a multiple linear regression approach in presence of stable distribution noise
- Financial modeling with heavy-tailed stable distributions
- Estimation for heavy tailed moving average process.
- Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation
- Automatic deforestation detectors based on frequentist statistics and their extensions for other spatial objects
- Particle Gibbs for likelihood-free inference of stochastic volatility models
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
- On the applicability of the random walk model with stable steps for forecasting the dynamics of prices of financial tools in the Russian market
- Wavelet-based estimation for univariate stable laws
- Nonparametric inference of discretely sampled stable Lévy processes
- Empirical cumulant function based parameter estimation in stable laws
This page was built for publication: Simple consistent estimators of stable distribution parameters
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3753263)
