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STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams

Szymon Borak and Rafał Weron ()

Statistical Software Components from Boston College Department of Economics

Abstract: STABLEREGKW returns the estimated parameters ALPHA, BETA, SIGMA, MU of a stable distribution vector. STABLEREGKW uses the characteristic function regression method of S.M.Kogon, D.B.Williams (1998) "Characteristic Function Based Estimation of Stable Distribution Parameters", in "A Practical Guide to Heavy Tails: Statistical Techniques and Applications", R.J.Adler,R.E.Feldman, M.Taqqu eds., Birkhauser, Boston, 311-335.

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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