Abstract
A method is developed to directly obtain maximum likelihood estimates of symmetric stable distribution parameters. This is a difficult estimation problem since the likelihood function is expressed as an integral. The estimation routine is tested on a Monte Carlo sample and produces reasonable estimates.
Original language | English |
---|---|
Pages (from-to) | 1459-1464 |
Number of pages | 6 |
Journal | Communications in Statistics - Simulation and Computation |
Volume | 19 |
Issue number | 4 |
DOIs | |
Publication status | Published - 1990 |
Externally published | Yes |
Keywords
- Paretian distribution
- leptokurtosis
- non-linear optimization
- numerical integration
ASJC Scopus subject areas
- Statistics and Probability
- Modelling and Simulation