Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

Estimation of Stable-Law Parameters: A Comparative Study

Vedat Akgiray and Christopher G. Lamoureux
Journal of Business & Economic Statistics
Vol. 7, No. 1 (Jan., 1989), pp. 85-93
DOI: 10.2307/1391841
Stable URL: http://www.jstor.org/stable/1391841
Page Count: 9
  • Download ($14.00)
  • Cite this Item
Estimation of Stable-Law Parameters: A Comparative Study
Preview not available

Abstract

The stable distribution has many desirable properties and is applicable in many areas of scientific pursuit (e.g., the study of stock-return behavior). Despite this, little is known about the properties of the various extant estimation techniques for the parameters of the stable laws. This article compares the iterative regression technique with the latest version of the fractile technique, using both simulated and actual data.

Page Thumbnails

  • Thumbnail: Page 
85
    85
  • Thumbnail: Page 
86
    86
  • Thumbnail: Page 
87
    87
  • Thumbnail: Page 
88
    88
  • Thumbnail: Page 
89
    89
  • Thumbnail: Page 
90
    90
  • Thumbnail: Page 
91
    91
  • Thumbnail: Page 
92
    92
  • Thumbnail: Page 
93
    93