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| Titel: |
Modified weighted squared error estimation procedures with special emphasis on the stable laws |
| Auteur: |
Paulson, A. S. Delehanty, T. A. |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 14 (1985) nr. 4 pagina's 927-972 |
| Jaar: |
1985 |
| Inhoud: |
Two families of parameter estimation procedures for the stable laws based on a variant of the characteristic function are provided. The methodology which produces viable computational procedures for the stable laws is generally applicable to other families of distributions across a variety of settings. Both families of procedures may be described as a modified weighted chi-squared minimization procedure, and both explicitly take account of constraints on the parameter space. Influence func-tions for and efficiencies of the estimators are given. If x1, x2, …xn random sample from an unknown distribution F , a method for determining the stable law to which F is attracted is developed. Procedures for regression and autoregres-sion with stable error structure are provided. A number of examples are given. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 10 van 16 gevonden artikelen
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