ScholarLens Back to search
1972•Journal of the American Statistical AssociationRequires access

Estimation in Univariate and Multivariate Stable Distributions

S. James Press

Open publisher page 249 citations

Abstract

This paper proposes several methods of estimating parameters in stable distributions. All the methods involve sample characteristic functions. One of the methods which is based upon the method of moments is treated in some detail. Asymptotic normal distributions for the proposed moment estimators are provided. Moreover, all methods provide consistent estimators. The estimation problem is treated for both univariate and multivariate stable distributions.

About this research paper

What this paper is about

This paper proposes several methods of estimating parameters in stable distributions. All the methods involve sample characteristic functions. One of the methods which is based upon the method of moments is treated in some detail. Asymptotic normal distributions for the proposed moment estimators are provided. Moreover, all methods provide consistent estimators. The estimation problem is treated for both univariate and multivariate stable distributions.

Why it matters

OpenAlex reports 249 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

This paper proposes several methods of estimating parameters in stable distributions. All the methods involve sample characteristic functions. One of the methods which is based upon the method of moments is treated in some detail. Asymptotic normal distributions for the proposed moment estimators are provided. Moreover, all methods provide consistent estimators. The estimation problem is treated for both univariate and multivariate stable distributions.

Key concepts: Univariate, Estimator, Multivariate statistics, Mathematics, Moment (physics), Statistics, Applied mathematics, Estimation

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Estimation in Univariate and Multivariate Stable Distributions — Research Paper | ScholarLens