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Details van artikel 17 van 23 gevonden artikelen
| Titel: |
Simple consistent estimators of stable distribution parameters |
| Auteur: |
McCulloch, J. Huston |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 15 (1986) nr. 4 pagina's 1109-1136 |
| Jaar: |
1986 |
| Inhoud: |
The four parameters of a stable distribution may be estimated consistently from five pre-determined sample quantiles with the aid of the accompanying tables, for a in the range [0.6, 2.0] and g in the range [-1, 1]. The problem of the discontinuity of the traditional location parameter in the asymmetrical cases as a passes unity is resolved. The proposed estimators of a and c are similar to those of Fama and Roll, except that the small asymptotic bias in their estimators has been eliminated, and their restrictions that a be no less than 1.0 and that the distribution be symmetrical have been relaxed. The proposed estimators can provide good initialization values for other more efficient, but computer-intensive, methods. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 17 van 23 gevonden artikelen
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