ESTIMATION OF PARAMETERS OF STABLE LAWS

被引：43

作者：

PAULSON, AS

HOLCOMB, EW

LEITCH, RA

机构：

[1] RENSSELAER POLYTECH INST,SCH MANAGEMENT,TROY,NY 12100

[2] BOEING COMMERCIAL AIRPLANE CO,SEATTLE,WA

[3] UNIV GEORGIA,DEPT ACCOUNTING,ATHENS,GA

来源：

BIOMETRIKA | 1975年 / 62卷 / 01期

关键词：

D O I：

10.1093/biomet/62.1.163

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

引用

页码：163 / 170

页数：8

共 16 条

[1]

ABRAMOWITZ M, 1964, HDB MATHEMATICAL FUN

[2]

[Anonymous], 1966, SELECTED TRANSLATION

[3] ASYMPTOTIC NORMALITY OF MAXIMUM-LIKELIHOOD ESTIMATE WHEN SAMPLING FROM A STABLE DISTRIBUTION [J].

DUMOUCHEL, WH .

ANNALS OF STATISTICS, 1973, 1 (05) :948-957

[4] PARAMETER ESTIMATES FOR SYMMETRIC STABLE DISTRIBUTIONS [J].

FAMA, EF ;

ROLL, R .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1971, 66 (334) :331-338

[5] THE BEHAVIOR OF STOCK-MARKET PRICES [J].

FAMA, EF .

JOURNAL OF BUSINESS, 1965, 38 (01) :34-105

[6] MANDELBROT AND THE STABLE PARETIAN HYPOTHESIS [J].

FAMA, EF .

JOURNAL OF BUSINESS, 1963, 36 (04) :420-429

[7]

Feller W., 1966, INTRO PROBABILITY TH, V2

[8] ASYMMETRIC STABLE DISTRIBUTIONS OF STOCK PRICE CHANGES [J].

FIELITZ, BD ;

SMITH, EW .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1972, 67 (340) :813-814

[9]

GNEDENKO B, 1968, LIMIT DISTRIBUTION S

[10]

LEITCH RD, TO BE PUBLISHED

← 1 2 →