On the Estimation of Skewed Geometric Stable Distributions
AbstractThe increasing interest in the application of geometric stable distributions has lead to a need for appropriate estimators. Building on recent procedures for estimating the Linnik distribution, this paper develops two estimators for the geometric stable distribution. Closed form expressions are provided for the signed and unsigned fractional moments of the distribution. The estimators are then derived using the methods of fractional lower order moments and that of logarithmic moments. Their performance is tested on simulated data, where the lower order estimators, in particular, are found to give efficient results over most of the parameter space.
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Bibliographic InfoPaper provided by The Ratio Institute in its series Ratio Working Papers with number 216.
Length: 19 pages
Date of creation: 21 Aug 2013
Date of revision:
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Geometric stable distribution; Estimation; Fractional lower order moments; Logarithmic moments; Economics;
Find related papers by JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
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