Maximum likelihood estimates of symmetric stable distribution parameters

B. Wade Brorsen; Seung Ryong Yang

doi:10.1080/03610919008812928

Maximum likelihood estimates of symmetric stable distribution parameters

B. Wade Brorsen
, Seung Ryong Yang

Research output: Contribution to journal › Article › peer-review

58 Citations (Scopus)

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	https://doi.org/10.1080/03610919008812928
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

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10.1080/03610919008812928

Cite this

@article{56e3bae0ed914fc1badfcf49827e5d9a,

title = "Maximum likelihood estimates of symmetric stable distribution parameters",

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.",

keywords = "Paretian distribution, leptokurtosis, non-linear optimization, numerical integration",

author = "Brorsen, \{B. Wade\} and Yang, \{Seung Ryong\}",

year = "1990",

doi = "10.1080/03610919008812928",

language = "English",

volume = "19",

pages = "1459--1464",

journal = "Communications in Statistics - Simulation and Computation",

issn = "0361-0918",

publisher = "Taylor and Francis Ltd.",

number = "4",

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TY - JOUR

T1 - Maximum likelihood estimates of symmetric stable distribution parameters

AU - Brorsen, B. Wade

AU - Yang, Seung Ryong

PY - 1990

Y1 - 1990

N2 - 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.

AB - 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.

KW - Paretian distribution

KW - leptokurtosis

KW - non-linear optimization

KW - numerical integration

UR - https://www.scopus.com/pages/publications/0000270897

U2 - 10.1080/03610919008812928

DO - 10.1080/03610919008812928

M3 - Article

AN - SCOPUS:0000270897

SN - 0361-0918

VL - 19

SP - 1459

EP - 1464

JO - Communications in Statistics - Simulation and Computation

JF - Communications in Statistics - Simulation and Computation

IS - 4

ER -

Maximum likelihood estimates of symmetric stable distribution parameters

Abstract

Keywords

ASJC Scopus subject areas

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