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Parameter Estimates for Symmetric Stable Distributions

Eugene F. Fama and Richard Roll
Journal of the American Statistical Association
Vol. 66, No. 334 (Jun., 1971), pp. 331-338
DOI: 10.2307/2283932
Stable URL: http://www.jstor.org/stable/2283932
Page Count: 8
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Parameter Estimates for Symmetric Stable Distributions
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Abstract

Building on results of an earlier article [6], estimators are suggested for the scale parameter and characteristic exponent of symmetric stable distributions, and Monte Carlo studies of these estimators are reported. The powers of various goodness-of-fit tests of a Gaussian null hypothesis against non-Gaussian stable alternatives are also investigated. Finally, a test of the stability property of symmetric stable variables is suggested and demonstrated.

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