Indirect Estimation of Elliptical Stable Distributions
نویسندگان
چکیده
منابع مشابه
Estimation of Stable Distributions by Indirect Inference
This article deals with the estimation of the parameters of an α-stable distribution by the indirect inference method with the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate for an auxiliary model since it has the same number of parameters as the α-stable distribution, with each parameter playing a similar role. To improve the properties of the ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1006749