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Regression-Type Estimation of the Parameters of Stable Laws
Ioannis A. Koutrouvelis
Journal of the American Statistical Association
Vol. 75, No. 372 (Dec., 1980), pp. 918-928
Stable URL: http://www.jstor.org/stable/2287182
Page Count: 11
You can always find the topics here!Topics: Estimators, Statistical estimation, Simulations, Sample size, Stock prices, Statistics, Eigenfunctions, Estimation methods, Estimation bias, Standard deviation
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A regression-type method of estimating the four parameters of a stable distribution is presented. The estimators found are consistent and approximately unbiased for moderately large sample sizes. Their efficiencies, found through a simulation study, are greater than those of most other estimators for large portions of the parameter space. Moreover, the amount of computation involved is minimal and apparently less than that needed by the methods of Paulson, Holcomb, and Leitch (1975) and of maximum likelihood (DuMouchel 1971). Finally, this method is applied to stock price data from four corporations.
Journal of the American Statistical Association © 1980 American Statistical Association