Estimation of the characteristic exponent of stable laws
Sign Up to like & getrecommendations! Published in 2017 at "Lithuanian Mathematical Journal"
DOI: 10.1007/s10986-017-9360-5
Abstract: We present an estimation algorithm for the characteristic parameter α of a stable law and obtain an upper bound of the quadratic deviation of the estimator. We apply this algorithm in the description of the… read more here.
Keywords: estimation characteristic; exponent stable; characteristic exponent; stable laws ... See more keywords
Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws.
Sign Up to like & getrecommendations! Published in 2020 at "Chaos"
DOI: 10.1063/5.0013148
Abstract: Stable distribution is one of the attractive models that well describes fat-tail behaviors and scaling phenomena in various scientific fields. The approach based upon the method of moments yields a simple procedure for estimating stable… read more here.
Keywords: stable laws; selection; function based; characteristic function ... See more keywords