MAXIMUM-LIKELIHOOD-ESTIMATES OF SYMMETRICAL STABLE DISTRIBUTION PARAMETERS

被引：37

作者：

BRORSEN, BW

YANG, SR

机构：

[1] PURDUE UNIV,DEPT AGR ECON,W LAFAYETTE,IN 47907

[2] N DAKOTA STATE UNIV,DEPT AGR ECON,FARGO,ND 58105

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 1990年 / 19卷 / 04期

关键词：

PARETIAN DISTRIBUTION; LEPTOKURTOSIS; NUMERICAL INTEGRATION; NONLINEAR OPTIMIZATION;

D O I：

10.1080/03610919008812928

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：

A method is developed to directly obtain maximum likelihood estimates of symmetric stable distribution parameters. This is a difficult estimation problem since the likelihood function is expressed as an integral. The estimation routine is tested on a Monte Carlo sample and produces reasonable estimates.

引用

页码：1459 / 1464

页数：6

共 15 条

[1]

[Anonymous], 1966, SELECTED TRANSLATION

[2] METHOD FOR SIMULATING STABLE RANDOM-VARIABLES [J].