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Performance of the estimators of stable law parameters

Author

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  • Rafal Weron

Abstract

In this paper, we discuss the issue of estimation of the parameters of stable laws. We present an overview of the known methods and compare them on samples of different sizes and for different values of the parameters. Performance tables are provided.

Suggested Citation

  • Rafal Weron, 1995. "Performance of the estimators of stable law parameters," HSC Research Reports HSC/95/01, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:wpaper:hsc9501
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_95_01.pdf
    File Function: Original version, 1995
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    Cited by:

    1. Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.

    More about this item

    Keywords

    Stable distribution; Simulation; Random variable;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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