Performance of the estimators of stable law parameters

Rafał Weron

No HSC/95/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In this paper, we discuss the issue of estimation of the parameters of stable laws. We present an overview of the known methods and compare them on samples of different sizes and for different values of the parameters. Performance tables are provided.

Keywords: Stable distribution; Simulation; Random variable (search for similar items in EconPapers)
JEL-codes: C15 C16 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1995
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_95_01.pdf Original version, 1995 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wuu:wpaper:hsc9501

Access Statistics for this paper

More papers in HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().