1980•Journal of the American Statistical AssociationRequires access

Regression-Type Estimation of the Parameters of Stable Laws

Ioannis A. Koutrouvelis

Open publisher page 512 citations

Abstract

A regression-type method of estimating the four parameters of a stable distribution is presented. The estimators found are consistent and approximately unbiased for moderately large sample sizes. Their efficiencies, found through a simulation study, are greater than those of most other estimators for large portions of the parameter space. Moreover, the amount of computation involved is minimal and apparently less than that needed by the methods of Paulson, Holcomb, and Leitch (1975) and of maximum likelihood (DuMouchel 1971). Finally, this method is applied to stock price data from four corporations.

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A regression-type method of estimating the four parameters of a stable distribution is presented. The estimators found are consistent and approximately unbiased for moderately large sample sizes. Their efficiencies, found through a simulation study, are greater than those of most other estimators for large portions of the parameter space. Moreover, the amount of computation involved is minimal and apparently less than that needed by the methods of Paulson, Holcomb, and Leitch (1975) and of maximum likelihood (DuMouchel 1971). Finally, this method is applied to stock price data from four corporations.

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Available abstract

A regression-type method of estimating the four parameters of a stable distribution is presented. The estimators found are consistent and approximately unbiased for moderately large sample sizes. Their efficiencies, found through a simulation study, are greater than those of most other estimators for large portions of the parameter space. Moreover, the amount of computation involved is minimal and apparently less than that needed by the methods of Paulson, Holcomb, and Leitch (1975) and of maximum likelihood (DuMouchel 1971). Finally, this method is applied to stock price data from four corporations.

Key concepts: Estimator, Mathematics, Statistics, Maximum likelihood, Regression, Computation, Regression analysis, Type (biology)

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