STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis

Szymon Borak and Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: STABLEREG returns the estimated parameters ALPHA, BETA, SIGMA, MU of a stable distribution vector. STABLEREG uses the characteristic function regression method of Koutrouvelis (1980) Regression-Type Estimation of the Parameters of Stable Laws, JASA 75, 918-928.

Language: MATLAB
Requires: MATLAB
Keywords: Stable distribution; Parameter estimation; Heavy tail; Regression method; Characteristic function (search for similar items in EconPapers)
Date: 2010-10-19
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