AN ITERATIVE PROCEDURE FOR THE ESTIMATION OF THE PARAMETERS OF STABLE LAWS

被引:130
作者
KOUTROUVELIS, IA
机构
来源
COMMUNICATIONS IN STATISTICS PART B-SIMULATION AND COMPUTATION | 1981年 / 10卷 / 01期
关键词
D O I
10.1080/03610918108812189
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
引用
收藏
页码:17 / 28
页数:12
相关论文
共 8 条
[1]   METHOD FOR SIMULATING STABLE RANDOM-VARIABLES [J].
CHAMBERS, JM ;
MALLOWS, CL ;
STUCK, BW .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1976, 71 (354) :340-344
[2]   SOME PROPERTIES OF SYMMETRIC STABLE DISTRIBUTIONS [J].
FAMA, EF ;
ROLL, R .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1968, 63 (323) :817-&
[3]   PARAMETER ESTIMATES FOR SYMMETRIC STABLE DISTRIBUTIONS [J].
FAMA, EF ;
ROLL, R .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1971, 66 (334) :331-338
[4]   INTEGRATED SQUARED ERROR ESTIMATION OF PARAMETERS [J].
HEATHCOTE, CR .
BIOMETRIKA, 1977, 64 (02) :255-264
[5]  
KENDALL MG, 1977, ADV THEORY STATISTIC, V1
[6]  
KOUTROUVELIS IA, UNPUBLISHED
[7]   ESTIMATION OF PARAMETERS OF STABLE LAWS [J].
PAULSON, AS ;
HOLCOMB, EW ;
LEITCH, RA .
BIOMETRIKA, 1975, 62 (01) :163-170
[8]   ESTIMATION IN UNIVARIATE AND MULTIVARIATE STABLE DISTRIBUTIONS [J].
PRESS, SJ .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1972, 67 (340) :842-846