On the Joint Estimation of Stable Law Parameters

L. B. Klebanov, J. A. Melamed and S. T. Rachev
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L. B. Klebanov: St. Petersburg University for Architecture and Civil Engineering
J. A. Melamed: University of Southern California
S. T. Rachev: University of California

A chapter in Approximation, Probability, and Related Fields, 1994, pp 315-319 from Springer

Abstract: Abstract Computationally simple estimators for the vector of parameters of a stable law are constructed based on the modified method of scoring [3]. The estimators are consistent, asymptotically normal, and asymptotically efficient in the class of estimators with partial information on the distribution.

Keywords: Linear Space; Fisher Information; Stable Distribution; Joint Estimation; Unknown Vector Parameter (search for similar items in EconPapers)
Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4615-2494-6_24

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DOI: 10.1007/978-1-4615-2494-6_24

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