Estimation of stable-law parameters: A comparative study

Research output: Contribution to journalArticle

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Abstract

The stable distribution has many desirable properties and is applicable in many areas of scientific pursuit (e.g., the study of stock-return behavior). Despite this, little is known about the properties of the various extant estimation techniques for the parameters of the stable laws. This article compares the iterative regression technique with the latest version of the fractile technique, using both simulated and actual data.

Original languageEnglish (US)
Pages (from-to)85-93
Number of pages9
JournalJournal of Business and Economic Statistics
Volume7
Issue number1
DOIs
StatePublished - Jan 1989

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Keywords

  • Bootstrap
  • Robustness
  • Simulation

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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