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Journal of the American Statistical Association Volume 70, 1975 - Issue 350
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Theory and Method

Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples

W. H. Dumouchel Department of Statistics, University of Michigan, Ann Arbor, Mich., 48104, USA
Pages 386-393 | Received 01 Jun 1973, Published online: 06 Apr 2012

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Muneya Matsui. (2021) Asymptotics of maximum likelihood estimation for stable law with continuous parameterization. Communications in Statistics - Theory and Methods 50:15, pages 3695-3712.
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J. Lévy Véhel, A. Philippe & C. Robet. (2021) Explicit and combined estimators for parameters of stable distributions. Statistics 55:4, pages 736-764.
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Shibin Zhang & Xuming He. (2016) Inference based on adaptive grid selection of probability transforms. Statistics 50:3, pages 667-688.
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Zhaozhi Fan. (2009) Minimum-Distance Estimator for Stable Exponent. Communications in Statistics - Theory and Methods 38:4, pages 511-528.
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Ian G. McHale & Patrick J. Laycock. (2006) Applications of a General Stable Law Regression Model. Journal of Applied Statistics 33:10, pages 1075-1084.
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Muneya Matsui & Akimichi Takemura. (2006) Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives. Communications in Statistics - Theory and Methods 35:1, pages 149-172.
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Zbigniew Kominek. (2002) Minimum chi-squared estimation of stable distributions parameters: An application to the Warsaw Stock Exchange. Journal of Applied Statistics 29:5, pages 729-744.
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ZinoviyM. Landsman & UdiE. Makov. (1998) Exponential dispersion models and credibility. Scandinavian Actuarial Journal 1998:1, pages 89-96.
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John P. Nolan & Anna K. Panorska. (1997) Data analysis for heavy tailed multivariate samples. Communications in Statistics. Stochastic Models 13:4, pages 687-702.
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J. Huston McCulloch. (1997) Measuring Tail Thickness to Estimate the Stable Index α: A Critique. Journal of Business & Economic Statistics 15:1, pages 74-81.
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D.J. Buckle. (1995) Bayesian Inference for Stable Distributions. Journal of the American Statistical Association 90:430, pages 605-613.
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Robert M. Kunst. (1993) Apparently stable increments in finance data: could arch effects be the cause ?. Journal of Statistical Computation and Simulation 45:1-2, pages 121-127.
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B. Wade Brorsen & Paul V. Preckei. (1993) Linear regression with stably distributed residuals. Communications in Statistics - Theory and Methods 22:3, pages 659-667.
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SAleh O. Badahdah & M.M. Siddiqui. (1991) Adaptive robust estimation of location for stable distributions. Communications in Statistics - Theory and Methods 20:2, pages 631-652.
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B. Wade Brorsen & Seung Ryong Yang. (1990) Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters. Communications in Statistics - Simulation and Computation 19:4, pages 1459-1464.
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Vedat Akgiray & ChristopherG. Lamoureux. (1989) Estimation of Stable-Law Parameters: A Comparative Study. Journal of Business & Economic Statistics 7:1, pages 85-93.
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J. Huston McCulloch. (1986) Simple consistent estimators of stable distribution parameters. Communications in Statistics - Simulation and Computation 15:4, pages 1109-1136.
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A. S. Paulson & T. A. Delehanty. (1985) Modified weighted squared error estimation procedures with special emphasis on the stable laws. Communications in Statistics - Simulation and Computation 14:4, pages 927-972.
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A. S. Paulson & T. A. Delehanty. (1984) Some properties of modified integrated squared error estimators for the stable laws. Communications in Statistics - Simulation and Computation 13:3, pages 337-365.
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IoannisA. Koutrouvelis & David F Bauer. (1982) Asymptotic distribution of regression type estimators of parameters of stable laws. Communications in Statistics - Theory and Methods 11:23, pages 2715-2730.
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P.J. Brockwell & B.M. Brown. (1981) High-Efficiency Estimation for the Positive Stable Laws. Journal of the American Statistical Association 76:375, pages 626-631.
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Andrey Feuerverger & Philip McDunnough. (1981) On Some Fourier Methods for Inference. Journal of the American Statistical Association 76:374, pages 379-387.
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IoannisA. Koutrouvelis. (1980) Regression-Type Estimation of the Parameters of Stable Laws. Journal of the American Statistical Association 75:372, pages 918-928.
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