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Theory and Method

Regression-Type Estimation of the Parameters of Stable Laws

Ioannis A. Koutrouvelis Department of Mathematical Sciences, Virginia Commonwealth University, Richmond, VA, 23284, USA
Pages 918-928 | Received 01 Dec 1976, Published online: 12 Mar 2012

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Jun Yu. (2004) Empirical Characteristic Function Estimation and Its Applications. Econometric Reviews 23:2, pages 93-123.
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Ioannis A. Koutrouvelis & Simos G. Meintanis. (1999) Testing for stability based on the empirical characteristic funstion with applications to financial data. Journal of Statistical Computation and Simulation 64:4, pages 275-300.
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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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Hon-Shiang Lau & Amy Hing-Ling Lau. (1993) The reliability of the stability-under-addition test for the stable-paretian hypothesis. Journal of Statistical Computation and Simulation 48:1-2, pages 67-80.
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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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T.W. Epps. (1993) Characteristic Functions and Their Empirical Counterparts: Geometrical Interpretations and Applications to Statistical Inference. The American Statistician 47:1, pages 33-38.
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Stefan Mittnik & Svetlozar T. Rachev. (1993) Modeling asset returns with alternative stable distributions . Econometric Reviews 12:3, pages 261-330.
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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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Amy Hing-Ling Lau, Hon-Shiang Lau & JohnR. Wingender. (1990) The Distribution of Stock Returns: New Evidence Against the Stable Model. Journal of Business & Economic Statistics 8:2, pages 217-223.
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Simos Meintanis & Ioannis A. Koutrouvelis. (1990) Adaptive estimation of the center of symmetry based on the empirical characteristic function. Communications in Statistics - Theory and Methods 19:1, pages 381-394.
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Helena Iglésias Pereira. (1990) Tests for the Chacteristic Exponent and the Scale Parameter of Symmetric Stable Distributions. Communications in Statistics - Simulation and Computation 19:4, pages 1465-1475.
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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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Vedat Akgiray & G. Geoffrey Booth. (1988) The Stable-Law Model of Stock Returns. Journal of Business & Economic Statistics 6:1, pages 51-57.
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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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CharlesE. Wells & JohnL. Bryant. (1985) An Adaptive Estimation Procedure Using the LaPlace Transformation. IIE Transactions 17:3, pages 242-251.
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T. W. Epps & L. R. Pulley. (1985) Parameter estimates and tests of fit for infinite mixther distrirutions. Communications in Statistics - Theory and Methods 14:12, pages 3125-3145.
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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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J.L. Bryant & A.S. Paulson. (1983) Estimation of mixing proportions via distance between characteristic functions. Communications in Statistics - Theory and Methods 12:9, pages 1009-1029.
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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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Ioannis A. Koutrouvelis. (1981) An iterative procedure for the estimation of the parameters of stable laws. Communications in Statistics - Simulation and Computation 10:1, pages 17-28.
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