Simple consistent estimators of stable distribution parameters
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(only showing first 100 items - show all)- Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
- The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions
- A simple robust estimation method for the thickness of heavy tails
- Monte Carlo inference in econometric models with symmetric stable disturbances
- The theory of geometric stable distributions and its use in modeling financial data
- Option pricing for a logstable asset price model
- Comparison of estimators in stable models.
- A simple estimator for the characteristic exponent of the stable Paretian distribution
- Geometric stable laws: Estimation and applications
- Maximum likelihood estimation of stable Paretian models.
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Testing the stable Paretian assumption
- Estimation of stable spectral measures
- Stable modeling of value at risk
- \(U\)-statistic for multivariate stable distributions
- A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions
- Variational Bayes with synthetic likelihood
- Timing portfolio strategies with exponential Lévy processes
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Codifference as a practical tool to measure interdependence
- On estimation and testing goodness of fit for m-dependent stable sequences
- Generalized stable models for financial asset returns
- Recent results in applications and processing of -stable-distributed time series
- Applications of the characteristic function-based continuum GMM in finance
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- Stable and generalized-\(t\) distributions and applications
- Nonparametric estimation of the kernel function of symmetric stable moving average random functions
- Series representation of jointly S S distribution via symmetric covariations
- Moment-based estimation for parameters of general inverse subordinator
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Bivariate sub-Gaussian model for stock index returns
- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
- Modelling tail risk with tempered stable distributions: an overview
- Inference for vast dimensional elliptical distributions
- A novel method for control performance assessment with fractional order signal processing and its application to semiconductor manufacturing
- Stable Paretian versus student's \(t\) stock market hypothesis
- Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
- Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
- Random weighting estimation of stable exponent
- Editors' introduction: Heavy tails and stable Paretian distributions in econometrics
- Exact confidence sets and goodness-of-fit methods for stable distributions
- On the properties of the coefficient of determination in regression models with infinite variance variables
- Estimating the parameters of an \({\alpha}\)-stable distribution using the existence of moments of order statistics
- Identification of moving average process with infinite variance
- Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
- Nonparametric inference of discretely sampled stable Lévy processes
- Statistical tools for anomaly detection as a part of predictive maintenance in the mining industry
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Consistent estimation of the structural distribution function
- A behavioral two‐sex marriage model
- The k-factor GARMA process with infinite variance innovations
- On the probability distribution of stock indices
- Quantifying Model Uncertainties in Complex Systems
- Study of on-line measurement of traffic self-similarity
- On the applicability of the random walk model with stable steps for forecasting the dynamics of prices of financial tools in the Russian market
- Moment-type estimation for positive stable laws with applications
- A Note on Unit Root Tests with Infinite Variance Noise
- On the skewness parameter estimation for stable distributions
- Indirect Estimation of α-Stable Distributions and Processes
- A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
- LÉVY-STABLE PRODUCTIVITY SHOCKS
- Portmanteau tests for ARMA models with infinite variance
- Minimum-Distance Estimator for Stable Exponent
- On the Test of Significance of Linear Multiple Regression Coefficients
- scientific article; zbMATH DE number 3917462 (Why is no real title available?)
- Modified weighted squared error estimation procedures with special emphasis on the stable laws
- Why do we need probability distributions with fat tails to describe the surface strain evolution in reinforced concrete flexural members?
- Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters
- Empirical processes for infinite variance autoregressive models
- Linear regression with stably distributed residuals
- Modeling asset returns with alternative stable distributions*
- Assessing the Performance of Three Methods for Separating Non-Spontaneous and Spontaneous Speech Through Simulation
- Best monotone M-estimators
- TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
- The Variance Ratio Test with Stable Paretian Errors
- Estimation for heavy tailed moving average process.
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Robust and efficient estimation of the shape parameter of alpha-stable distributions
- scientific article; zbMATH DE number 903869 (Why is no real title available?)
- On the Parametrization of the Afocal Stable Distributions
- Long range dependence for stable random processes
- Explicit and combined estimators for parameters of stable distributions
- Indirect inference for locally stationary ARMA processes with stable innovations
- Estimation of the parameters of multivariate stable distributions
- Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model
- scientific article; zbMATH DE number 7564078 (Why is no real title available?)
- Some analytical results on bivariate stable distributions with an application in operational risk
- Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
- Estimating the conditional tail expectation of Walmart stock data
- Gaussian copula of stable random vectors and application
- Estimation and comparison of signed symmetric covariation coefficient and generalized association parameter for alpha-stable dependence modeling
- scientific article; zbMATH DE number 6416868 (Why is no real title available?)
- Parameter Estimation of Stable Distributions
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- Wavelet-based estimation for multivariate stable laws
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
- Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation
- Measure of location-based estimators in simple linear regression
- Empirical cumulant function based parameter estimation in stable laws
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