Efficient and robust estimation for the one-sided stable distribution of index

Panagiotis Besbeas and Byron J.T. Morgan

Statistics & Probability Letters, 2004, vol. 66, issue 3, 251-257

Abstract: We show how the empirical Laplace transform provides a simple estimation procedure for the one-sided stable distribution of index that is both efficient and robust.

Keywords: Empirical; transform; Influence; function; Laplace; transform; Robustness; Stable; law; Transform; variable; selection (search for similar items in EconPapers)
Date: 2004
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