Asymptotic distribution of regression type estimators of parameters of stable laws |
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| Authors: | Ioannis A. Koutrouvelis David F Bauer |
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| Affiliation: | Department of Mathematical Sciences , Virginia Commonwealth University , Richmond, 23284, Virginia |
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| Abstract: | ![]()
Asymptotic distributions of regression-type estimators for the parameters of stable distributions am obtained. The asymptotic normalized standard deviations of the estimators are computed for various values of the parameters and various choices of the number of points used in getting the regression estimates. |
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| Keywords: | empirical characteristic function: parameter estimation stable distribution |
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