Estimating the parameters of an α-stable distribution using the existence of moments of order statistics

Necessary and sufficient conditions for the existence of order statistics moments of α-stable random variables are introduced. Using the obtained results, all parameters of α-stable distribution are estimated.

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Year of publication:	2014
Authors:	Mohammadi, Mohammad ; Mohammadpour, Adel
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 90.2014, C, p. 78-84
Publisher:	Elsevier
Subject:	α-stable distribution \| Order statistics \| Estimation \| Asymptotic distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039905