Performance of the estimators of stable law parameters

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.

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Year of publication:	1995
Authors:	Weron, Rafal
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	Stable distribution \| Simulation \| Random variable

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Extent:	application/pdf
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number HSC/95/01 21 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009003629