Some Improvements in Numerical Evaluation of Symmetric Stable Density and its Derivatives
AbstractWe propose improvements in numerical evaluation of symmetric stable density and its partial derivatives with respect to the parameters. They are useful for more reliable evaluation of maximum likelihood estimator and its standard error. Numerical values of the Fisher information matrix of symmetric stable distributions are also given. Our improvements consist of modification of the method of Nolan (1997) for the boundary cases, i.e., in the tail and mode of the densities and in the neighborhood of the Cauchy and the normal distributions.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-292.
Length: 21 pages
Date of creation: Aug 2004
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-23 (All new papers)
- NEP-CMP-2004-08-23 (Computational Economics)
- NEP-ECM-2004-08-30 (Econometrics)
- NEP-ETS-2004-08-23 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nolan, John P., 1998. "Parameterizations and modes of stable distributions," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 187-195, June.
- Liu, Shi-Miin & Brorsen, B Wade, 1995. "Maximum Likelihood Estimation of a Garch-Stable Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 273-85, July-Sept.
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