Regression with an infinite number of observations applied to estimating the parameters of the stable distribution using the empirical characteristic function

J. Martin Van Zyl

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 11, 3323-3331

Abstract: The parameters of stable law parameters can be estimated using a regression based approach involving the empirical characteristic function. One approach is to use a fixed number of points for all parameters of the distribution to estimate the characteristic function. In this work the results are derived where all points in an interval is used to estimate the empirical characteristic function, thus least squares estimators of a linear function of the parameters, using an infinite number of observations. It was found that the procedure performs very good in small samples.

Date: 2016
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DOI: 10.1080/03610926.2014.901382

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