Statistical Inference for Stable Distribution Using EM algorithm
From MaRDI portal
Abstract: The class of -stable distributions with a wide range of applications in economics, telecommunications, biology, applied, and theoretical physics. This is due to the fact that it possesses both the skewness and heavy tails. Since -stable distribution suffers from a closed-form expression for density function, finding efficient estimators for its parameters has attracted a great deal of attention in the literature. Here, we propose some EM algorithm to estimate the maximum likelihood estimators of the parameters of -stable distribution. The performance of the proposed EM algorithm is demonstrated via comparison study in the presence of other well-known competitors and analyzing three sets of real data.
This page was built for publication: Statistical Inference for Stable Distribution Using EM algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6309535)
