Some Improvements in Numerical Evaluation of Symmetric Stable Density and its Derivatives

Muneya Matsui and Akimichi Takemura
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Muneya Matsui: Graduate School of Economics, University of Tokyo
Akimichi Takemura: Graduate School of Information Science and Technology, University of Tokyo

No CIRJE-F-292, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We propose improvements in numerical evaluation of symmetric stable density and its partial derivatives with respect to the parameters. They are useful for more reliable evaluation of maximum likelihood estimator and its standard error. Numerical values of the Fisher information matrix of symmetric stable distributions are also given. Our improvements consist of modification of the method of Nolan (1997) for the boundary cases, i.e., in the tail and mode of the densities and in the neighborhood of the Cauchy and the normal distributions.

Pages: 21 pages
Date: 2004-08
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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