An iterative procedure for the estimation of the parameters of stable laws

Communications in Statistics - Simulation and Computation

Volumn 10, Issue 1, 1981, Pages 17-28

  Koutrouvelis, Ioannis A ^a  

^a VIRGINIA COMMONWEALTH UNIVERSITY   (United States)

Author keywords

characteristic function; Regression type estimators; sample; stable laws

Indexed keywords

EID: 84958374241     PISSN: 03610918     EISSN: 15324141     Source Type: Journal    
DOI: 10.1080/03610918108812189     Document Type: Article

References (8)

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2. Fama, E.F. & Roll, R. (1968). Some properties of symmetric stable distributions. J. Amer. Statist. Assoc. 63, 817–36.
3. Fama, E.F. & Roll, R. (1971). Parameter estimates for symmetric stable distributions. J. Amer. Statist. Assoc, 66, 331–8.
4. Heathcote, C.R. (1977). The integrated squared error estimation of parameters. Biometrika 64, 255–64.
5. Kendall, M.G. & Stuart, A. (1977). The Advanced Theory of Statistics, Vol. 1, 4th ed. London: Griffin.
6. Koutrouvelis, I.A. (1980). Regression-type estimation of the parameters of stable laws, J. Amer. Statist. Assoc. To appear.
7. Paulson, A.S., Holcomb, E.W. & Leitch, R.A. (1975). The estimation of the parameters of the stable laws. Biometrika 62, 163–70.
8. Press, S.J. (1972). Estimation in univariate and multivariate stable distributions. J. Amer. Statist. Assoc. 67, 842–6.