Advanced search
Publication Cover
Communications in Statistics - Simulation and Computation Volume 15, 1986 - Issue 4
Submit an article Journal homepage
446
Views
452
CrossRef citations to date
0
Altmetric
Original Articles

Simple consistent estimators of stable distribution parameters

J. Huston McCulloch Department of Economics, The Ohio State University, Columbus, Ohio, 43210
Pages 1109-1136 | Published online: 27 Jun 2007

Citations (452)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (53)

Žikica Lukić & Bojana Milošević. (2023) Characterization-based approach for construction of goodness-of-fit test for Lévy distribution. Statistics 57:5, pages 1087-1116.
Read now
Michael S. Young & Roger J. Brown. (2023) Real Estate Return Distributions with New NCREIF Data Series. Journal of Real Estate Portfolio Management 29:2, pages 151-176.
Read now
Aastha M. Sathe & N. S. Upadhye. (2022) Estimation of the parameters of multivariate stable distributions. Communications in Statistics - Simulation and Computation 51:10, pages 5897-5914.
Read now
L. Tafakori, M. Bee & A.R. Soltani. (2022) Some analytical results on bivariate stable distributions with an application in operational risk. Quantitative Finance 22:7, pages 1355-1369.
Read now
J. Lévy Véhel, A. Philippe & C. Robet. (2021) Explicit and combined estimators for parameters of stable distributions. Statistics 55:4, pages 736-764.
Read now
Shu Wei Chou-Chen & Pedro A. Morettin. (2020) Indirect inference for locally stationary ARMA processes with stable innovations. Journal of Statistical Computation and Simulation 90:17, pages 3106-3134.
Read now
M. Kateregga, S. Mataramvura & D. Taylor. (2017) Parameter estimation for stable distributions with application to commodity futures log-returns. Cogent Economics & Finance 5:1.
Read now
J. Stein, S. R. C. Lopes & A. V. Medino. (2016) Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation. Journal of Statistical Computation and Simulation 86:14, pages 2819-2845.
Read now
Xijia Liu & Daniel Preve. (2016) Measure of location-based estimators in simple linear regression. Journal of Statistical Computation and Simulation 86:9, pages 1771-1784.
Read now
Shibin Zhang & Xuming He. (2016) Inference based on adaptive grid selection of probability transforms. Statistics 50:3, pages 667-688.
Read now
David Stibůrek. (2016) Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift. Journal of Statistical Theory and Practice 10:2, pages 389-404.
Read now
Abdou Kâ Diongue & Mor Ndongo. (2016) The k-factor GARMA Process with Infinite Variance Innovations. Communications in Statistics - Simulation and Computation 45:2, pages 420-437.
Read now
J. Martin Van Zyl. (2015) Applying Least Absolute Deviation Regression to Regression-type Estimation of the Index of a Stable Distribution Using the Characteristic Function. Communications in Statistics - Simulation and Computation 44:9, pages 2442-2462.
Read now
J.M. Sampaio & P.A. Morettin. (2015) Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models. Journal of Statistical Computation and Simulation 85:13, pages 2702-2717.
Read now
Mona Shokripour & Mina Aminghafari. (2015) Wavelet-based estimation for multivariate stable laws. Journal of Statistical Computation and Simulation 85:8, pages 1584-1600.
Read now
B. Kodia & B. Garel. (2014) Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling. Communications in Statistics - Theory and Methods 43:24, pages 5156-5174.
Read now
Hsi Li, Joseph McCarthy & Coleen Pantalone. (2014) High-yield versus investment-grade bonds: less risk and greater returns?. Applied Financial Economics 24:20, pages 1303-1312.
Read now
Yi-Jin Peng, Xin Xu & Hui Song. (2013) Alpha-stable distribution for SAR image classification. Remote Sensing Letters 4:1, pages 65-74.
Read now
Artun Alparslan, Anthony Tessitore & Nilufer Usmen. (2013) Stable Paretian Versus Student's t Stock Market Hypothesis. Journal of Statistical Theory and Practice 7:1, pages 133-145.
Read now
Laura Coroneo & David Veredas. (2012) A simple two-component model for the distribution of intraday returns. The European Journal of Finance 18:9, pages 775-797.
Read now
Adel Boubaker & Beljid Makram. (2012) Modelling heavy tails and double long memory in North African stock market returns. The Journal of North African Studies 17:2, pages 195-214.
Read now
Michael Young & Roger Brown. (2012) Real Estate Return Distributions Using Maximum Likelihood Estimation: New Technology, New Results. Journal of Real Estate Portfolio Management 18:1, pages 23-41.
Read now
Marc Hallin, Yvik Swan, Thomas Verdebout & David Veredas. (2011) Rank-based testing in linear models with stable errors. Journal of Nonparametric Statistics 23:2, pages 305-320.
Read now
Taras Bodnar & Arjun K. Gupta. (2011) Estimation of the precision matrix of a multivariate elliptically contoured stable distribution. Statistics 45:2, pages 131-142.
Read now
Johannes Richter, Matthias Thomas & Roland Füss. (2011) German Real Estate Return Distributions: Is There Anything Normal?. Journal of Real Estate Portfolio Management 17:2, pages 161-179.
Read now
D. M. Mahinda Samarakoon & Keith Knight. (2009) A Note on Unit Root Tests with Infinite Variance Noise. Econometric Reviews 28:4, pages 314-334.
Read now
Zhaozhi Fan. (2009) Minimum-Distance Estimator for Stable Exponent. Communications in Statistics - Theory and Methods 38:4, pages 511-528.
Read now
Stavros Degiannakis, Alexandra Livada & Epaminondas Panas. (2008) Rolling-sampled parameters of ARCH and Levy-stable models. Applied Economics 40:23, pages 3051-3067.
Read now
Stella Kanellopoulou & Epaminondas Panas. (2008) Empirical distributions of stock returns: Paris stock market, 1980–2003. Applied Financial Economics 18:16, pages 1289-1302.
Read now
Debasish Mondal. (2008) On the Test of Significance of Linear Multiple Regression Coefficients. Communications in Statistics - Simulation and Computation 37:4, pages 713-730.
Read now
MichaelS. Young, StephenL. Lee & StevenP. Devaney. (2006) Non‐Normal Real Estate Return Distributions by Property Type in the UK. Journal of Property Research 23:2, pages 109-133.
Read now
Zhaozhi Fan. (2006) Parameter Estimation of Stable Distributions. Communications in Statistics - Theory and Methods 35:2, pages 245-255.
Read now
Ercan Balaban , Jamal Ouenniche & Danae Politou. (2005) A note on return distribution of UK stock indices. Applied Economics Letters 12:9, pages 573-576.
Read now
Wojciech W. Charemza, Daniela Hristova & Peter Burridge. (2005) Is inflation stationary?. Applied Economics 37:8, pages 901-903.
Read now
Wojciech W. Charemza & Zbigniew Kominek. (2003) Speculative processes and stable distributions: some simulation results. Applied Economics Letters 10:2, pages 69-72.
Read now
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.
Read now
Colin M. Gallagher. (2002) TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA. Communications in Statistics - Theory and Methods 31:4, pages 611-623.
Read now
JohnK. Dagsvik, Helge Brunborg & AneS. Flaatten. (2001) A behavioral two‐sex marriage model. Mathematical Population Studies 9:2, pages 97-121.
Read now
Esther-Mirjam Sent. (1999) The randomness of rational expectations: a perspective on Sargent's early incentives . The European Journal of the History of Economic Thought 6:3, pages 439-471.
Read now
John P. Nolan & Anna K. Panorska. (1997) Data analysis for heavy tailed multivariate samples. Communications in Statistics. Stochastic Models 13:4, pages 687-702.
Read now
Richard Graff, Adrian Harrington & Michael Young. (1997) The Shape of Australian Real Estate Return Distributions and Comparisons to the United States. Journal of Real Estate Research 14:3, pages 291-308.
Read now
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.
Read now
Thomas Lux. (1996) The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks. Applied Financial Economics 6:6, pages 463-475.
Read now
Amado Peiró. (1994) The distribution of stock returns: international evidence. Applied Financial Economics 4:6, pages 431-439.
Read now
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.
Read now
Tim Krehbiel. (1993) A note on the disappearance of day-of-the-week seasonals in the daily price changes of Treasury bond futures. Applied Financial Economics 3:1, pages 73-78.
Read now
Stefan Mittnik & Svetlozar T. Rachev. (1993) Modeling asset returns with alternative stable distributions . Econometric Reviews 12:3, pages 261-330.
Read now
B. Wade Brorsen & Paul V. Preckei. (1993) Linear regression with stably distributed residuals. Communications in Statistics - Theory and Methods 22:3, pages 659-667.
Read now
AlanL. Tucker. (1992) A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returns. Journal of Business & Economic Statistics 10:1, pages 73-81.
Read now
Jacky C. So. (1991) Variability Measurements and Choice of Exchange Rate System: Asian Versus industrialized Countries. International Economic Journal 5:4, pages 43-61.
Read now
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.
Read now
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.
Read now
Vedat Akgiray & ChristopherG. Lamoureux. (1989) Estimation of Stable-Law Parameters: A Comparative Study. Journal of Business & Economic Statistics 7:1, pages 85-93.
Read now

Articles from other publishers (399)

Anji Yang, Sanling Yuan & Tonghua Zhang. (2024) Environmental Stochasticity Driving the Extinction of Top Predators in a Food Chain Chemostat Model. Journal of Nonlinear Science 34:3.
Crossref
Jesper Muren, Vilhelm Niklasson, Dmitry Otryakhin & Maxim Romashin. (2024) Automatic deforestation detectors based on frequentist statistics and their extensions for other spatial objects. Environmetrics.
Crossref
Krishna Gopal Dhal, Arunita Das, Buddhadev Sasmal, Tarun Kumar Ghosh & Kaustav Sarkar. (2023) Eagle Strategy in Nature-Inspired Optimization: Theory, Analysis, Applications, and Comparative Study. Archives of Computational Methods in Engineering 31:3, pages 1213-1232.
Crossref
Shakeeb Khan & Denis Nekipelov. (2024) On uniform inference in nonlinear models with endogeneity. Journal of Econometrics 240:2, pages 105261.
Crossref
Kewin Pączek, Damian Jelito, Marcin Pitera & Agnieszka Wyłomańska. (2023) Estimation of stability index for symmetric $$\alpha $$-stable distribution using quantile conditional variance ratios. TEST 33:1, pages 297-334.
Crossref
P.K. Nideesh, C.S. Chitra Lekha, R. Antoine & N. Kalarikkal. (2024) Photonic replica symmetry breaking glassy transition and Lévy flight statistics of emission intensity in dye-doped colloidal potassium sodium niobate random laser. Optics & Laser Technology 169, pages 110038.
Crossref
Sher Chhetri, Hongwei Long & Cory Ball. (2024) Parameter Estimation for Geometric Lévy Processes with Constant Volatility. Annals of Data Science.
Crossref
Mahdi Teimouri. (2024) A Fast and Simple Algorithm for Computing MLE of the Amplitude Density Function Parameters. IEEE Signal Processing Letters 31, pages 626-630.
Crossref
Pratibha Bhandari, Neelesh S Upadhye & Debasish Pradhan. (2023) Forecasting of financial time series data possessing stable distributions by employing Stochastic Differential Equations: A review. Forecasting of financial time series data possessing stable distributions by employing Stochastic Differential Equations: A review.
Chunxi Jiao & Georg A. Gottwald. (2023) Lévy flights as an emergent phenomenon in a spatially extended system. Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 479:2278.
Crossref
Joanna Janczura, Marcin Magdziarz & Ralf Metzler. (2023) Parameter estimation of the fractional Ornstein–Uhlenbeck process based on quadratic variation. Chaos: An Interdisciplinary Journal of Nonlinear Science 33:10.
Crossref
Chunlong Huang, Wenwen Zhou, Qian Cheng & Ran Cao. (2023) Probability density function analysis of water entry sound based on α stable distribution model. Ocean Engineering 285, pages 115299.
Crossref
Chisimkwuo John, Emmanuel J. Ekpenyong, Charles Chinedu Nworu & Chukwuemeka O. Omekara. (2023) A new robust bootstrapped singular value decomposition algorithm using the sample myriad estimate. International Journal of Data Science and Analytics.
Crossref
Jingjing Pan, Meng Sun, Xudong Dong, Yide Wang & Xiaofei Zhang. (2023) Enhanced DOA Estimation With Co-Prime Array in the Scenario of Impulsive Noise: A Pseudo Snapshot Augmentation Perspective. IEEE Transactions on Vehicular Technology 72:9, pages 11603-11616.
Crossref
Dikang Peng, Wei Teng, Chen Gao, Bo Tong & Yibing Liu. (2023) Cyclic band Box-Cox sparse measures based blind filtering and its application to bearing fault diagnosis. Measurement 218, pages 113054.
Crossref
Petek Sındırgı. (2023) A Closed-Form Alternative for the Frequency Distribution of Stably Distributed Random Components in Daily-Mean Self-Potential (SP) Time Series: Example from Urla Station, Turkey. Pure and Applied Geophysics 180:7, pages 2827-2840.
Crossref
Guillermo Palacios, André C. A. Siqueira, Cid B. de Araújo, Anderson S. L. Gomes & Ernesto P. Raposo. (2023) Replica symmetry breaking in random lasers: A Monte Carlo study with mean-field interacting photonic random walkers. Physical Review A 107:6.
Crossref
Maicon J. Karling, Sílvia R.C. Lopes & Roberto M. de Souza. (2023) Multivariate -stable distributions: VAR(1) processes, measures of dependence and their estimations . Journal of Multivariate Analysis 195, pages 105153.
Crossref
Ze Zhou Wang & Shui-Hua Jiang. (2022) Characterizing geotechnical site investigation data: a comparative study using a novel distribution model. Acta Geotechnica 18:4, pages 1821-1839.
Crossref
Ons Zaouga & Nadia Loukil. (2023) How the real estate indexes have performed during the COVID-19 crisis? Multifractal analysis revisited with wavelet. International Journal of Emerging Markets.
Crossref
Pengxing Feng, Lijun Zhang, Dejian Meng & Xiongfei Pi. (2023) An active noise control algorithm based on fractional lower order covariance with on-line characteristics estimation. Mechanical Systems and Signal Processing 186, pages 109835.
Crossref
Mohammad Mehdi Hosseinzadeh, Sergio Ortobelli Lozza, Farhad Hosseinzadeh Lotfi & Vittorio Moriggia. (2022) Portfolio optimization with asset preselection using data envelopment analysis. Central European Journal of Operations Research 31:1, pages 287-310.
Crossref
Sladana Babić, Christophe Ley, Lorenzo Ricci & David Veredas. (2023) TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements. PLOS ONE 18:1, pages e0278599.
Crossref
Kun Guo, Liang Zhang, Yingsong Li, Tian Zhou & Jingwei Yin. (2023) Variational Bayesian Inference for DOA Estimation Under Impulsive Noise and Non-Uniform Noise. IEEE Transactions on Aerospace and Electronic Systems, pages 1-13.
Crossref
Ayoub Ammy-Driss & Matthieu Garcin. (2023) Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. Physica A: Statistical Mechanics and its Applications 609, pages 128335.
Crossref
Kemal Caglar Gogebakan. (2022) A family of nonparametric unit root tests for processes driven by infinite variance innovations. Studies in Nonlinear Dynamics & Econometrics 26:5, pages 705-721.
Crossref
Kyong-Hui Kim, Su-Hyang Kim & Ho-Bom Jo. (2022) Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model. Journal of Computational and Applied Mathematics 416, pages 114496.
Crossref
Cheng Fang, Yubin Lu, Ting Gao & Jinqiao Duan. (2022) An end-to-end deep learning approach for extracting stochastic dynamical systems with α -stable Lévy noise . Chaos: An Interdisciplinary Journal of Nonlinear Science 32:6.
Crossref
Marcin Pitera, Aleksei Chechkin & Agnieszka Wyłomańska. (2021) Goodness-of-fit test for $$\alpha$$-stable distribution based on the quantile conditional variance statistics. Statistical Methods & Applications 31:2, pages 387-424.
Crossref
Farzad Sabzikar, Jinu Kabala & Krzysztof Burnecki. (2022) Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model. Journal of Physics A: Mathematical and Theoretical 55:17, pages 174002.
Crossref
Anji Yang, Hao Wang, Tonghua Zhang & Sanling Yuan. (2022) Stochastic switches of eutrophication and oligotrophication: Modeling extreme weather via non-Gaussian Lévy noise. Chaos: An Interdisciplinary Journal of Nonlinear Science 32:4.
Crossref
Ce Zheng, Malcolm Egan, Laurent Clavier, Gareth W. Peters & Jean-Marie Gorce. (2022) On the interference arising from random spatial fields of interferers utilizing multiple subcarriers. EURASIP Journal on Wireless Communications and Networking 2022:1.
Crossref
Daniel Flor, Danilo Pena, Hyago Lucas Oliveira, Luan Pena, Vicente A. de SousaJr.Jr. & Allan Martins. (2022) Evaluation of Acoustic Noise Level and Impulsiveness Inside Vehicles in Different Traffic Conditions. Sensors 22:5, pages 1946.
Crossref
Kristoffer Hagglund & Erik Axell. (2022) Adaptive Demodulation in Impulse Noise Channels. IEEE Transactions on Vehicular Technology 71:2, pages 1685-1698.
Crossref
Paola Stolfi, Mauro Bernardi & Lea Petrella. (2022) Sparse simulation-based estimator built on quantiles. Econometrics and Statistics.
Crossref
Kimera Naradh, Retius Chifurira & Knowledge Chinhamu. (2022) Analysis of stock exchange risk and currency in South African Financial Markets using stable parameter estimation. International Journal of Finance & Banking Studies (2147-4486) 11:1, pages 120-131.
Crossref
Mahnoosh Tajmirriahi, Zahra Amini & Hossein Rabbani. (2022) Logarithmic Moments for Mixture of Symmetric Alpha Stable Modelling. IEEE Signal Processing Letters 29, pages 2527-2531.
Crossref
Zhouhao Yang, Xingyu Xu & Yuantao Gu. (2022) A General Framework for Accurate and Private Mean Estimation. IEEE Signal Processing Letters 29, pages 2293-2297.
Crossref
Hang Dong, Siyuan Cang, Xueli Sheng, Jingwei Yin & Longxiang Guo. (2022) Under-ice target echo time delay estimation using -norm based matched filter . Applied Acoustics 185, pages 108391.
Crossref
Jinu Susan Kabala, Krzysztof Burnecki & Farzad Sabzikar. (2021) Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data. Chaos: An Interdisciplinary Journal of Nonlinear Science 31:11.
Crossref
Yao Jiang, Shuming Chen, Hao Meng, Zhengdao Zhou & Wei Lv. (2021) A novel adaptive step-size hybrid active noise control system. Applied Acoustics 182, pages 108285.
Crossref
Wajid Shakeel Ahmed, Muhammad Sohaib, Jamal Maqsood & Ateeb Siddiqui. (2021) Do intraday week effect in currencies hourly trading reflect leverage and asymmetric anomalies? Policy implications for traders. Journal of Chinese Economic and Foreign Trade Studies 14:3, pages 240-256.
Crossref
Konstantinos Pelekanakis, Stephane Blouin & Dale Green. (2021) Performance Analysis of Underwater Acoustic Communications in Barrow Strait. IEEE Journal of Oceanic Engineering 46:4, pages 1438-1449.
Crossref
Piotr Kruczek, Radosław Zimroz, Jerome Antoni & Agnieszka Wyłomańska. (2021) Generalized spectral coherence for cyclostationary signals with -stable distribution . Mechanical Systems and Signal Processing 159, pages 107737.
Crossref
Petek Sindirgi. (2021) On the unit root nonstationary behavior of daily self-potential (SP) time series with infinite variance noise: an example from Urla, Izmir-Turkey. Earth Science Informatics 14:3, pages 1185-1196.
Crossref
Ahona Ghosh & Sriparna Saha. (2021) Recurrent Neural Network Based Cognitive Ability Analysis In Mental Arithmetic Task Using Electroencephalogram. Recurrent Neural Network Based Cognitive Ability Analysis In Mental Arithmetic Task Using Electroencephalogram.
Aleksandra Grzesiek, Rafał Połoczański, Arun Kumar & Agnieszka Wyłomańska. (2021) Moment-based estimation for parameters of general inverse subordinator. Physica A: Statistical Mechanics and its Applications 575, pages 126042.
Crossref
Steven Yuvan & Martin Bier. (2021) Breaking of time-reversal symmetry for a particle in a parabolic potential that is subjected to Lévy noise: Theory and an application to solar flare data. Physical Review E 104:1.
Crossref
Yujia Ding & Qidi Peng. (2021) Series Representation of Jointly S$$\alpha $$S Distribution via Symmetric Covariations. Communications in Mathematics and Statistics 9:2, pages 203-238.
Crossref
Hasan Fallahgoul & Gregoire Loeper. (2019) Modelling tail risk with tempered stable distributions: an overview. Annals of Operations Research 299:1-2, pages 1253-1280.
Crossref
Jürgen Kampf, Georgiy Shevchenko & Evgeny Spodarev. (2020) Nonparametric estimation of the kernel function of symmetric stable moving average random functions. Annals of the Institute of Statistical Mathematics 73:2, pages 337-367.
Crossref
Vitalii Makogin, Marco Oesting, Albert Rapp & Evgeny Spodarev. (2020) Long range dependence for stable random processes. Journal of Time Series Analysis 42:2, pages 161-185.
Crossref
Tao Liu, Tianshuang Qiu, Jiacheng Zhang & Shengyang Luan. (2021) Hyperbolic tangent cyclic correlation and its application to the joint estimation of time delay and doppler shift. Signal Processing 180, pages 107863.
Crossref
Jacek Wodecki, Anna Michalak, Agnieszka Wyłomańska & Radosław Zimroz. (2021) Influence of non-Gaussian noise on the effectiveness of cyclostationary analysis – Simulations and real data analysis. Measurement 171, pages 108814.
Crossref
C. Medina, R. Coelho & L. Zao. (2021) Impulsive Noise Detection for Speech Enhancement in HHT Domain. IEEE/ACM Transactions on Audio, Speech, and Language Processing 29, pages 2244-2253.
Crossref
Lulu Wu, Bin Wang, Yan Huang, Haiwang Wang & Qiang Tang. (2021) A Blind Demodulation Algorithm for Underwater Acoustic MPSK Signal. IEEE Access 9, pages 147458-147470.
Crossref
A O Bielinskyi, I Khvostina, A Mamanazarov, A Matviychuk, S Semerikov, O Serdyuk, V Solovieva & V N Soloviev. (2021) Predictors of oil shocks. Econophysical approach in environmental science. IOP Conference Series: Earth and Environmental Science 628:1, pages 012019.
Crossref
Andrii Bielinskyi, Oleksandr Serdyuk, Serhiy Semerikov & Vladimir Soloviev. (2021) Econophysics of cryptocurrency crashes: an overview. SHS Web of Conferences 107, pages 03001.
Crossref
Truc Giang Vo Thi. 2021. Nature of Computation and Communication. Nature of Computation and Communication 192 208 .
Paweł D. Domański. (2020) Study on Statistical Outlier Detection and Labelling. International Journal of Automation and Computing 17:6, pages 788-811.
Crossref
Jakub Nowicki, Justyna Hebda-Sobkowicz, Radoslaw Zimroz & Agnieszka Wylomanska. (2020) Local Defect Detection in Bearings in the Presence of Heavy-Tailed Noise and Spectral Overlapping of Informative and Non-Informative Impulses. Sensors 20:22, pages 6444.
Crossref
Justyna Hebda-Sobkowicz, Radosław Zimroz, Marcin Pitera & Agnieszka Wyłomańska. (2020) Informative frequency band selection in the presence of non-Gaussian noise – a novel approach based on the conditional variance statistic with application to bearing fault diagnosis. Mechanical Systems and Signal Processing 145, pages 106971.
Crossref
D. Castillo-Barnes, F.J. Martinez-Murcia, J. Ramírez, J.M. Górriz & D. Salas-Gonzalez. (2020) Expectation–Maximization algorithm for finite mixture of -stable distributions . Neurocomputing 413, pages 210-216.
Crossref
Xiao Han, Jingwei Yin, Yanming Yang, Hongtao Wen & Longxiang Guo. (2020) Under-ice ambient noise in the Arctic Ocean: observations at the long-term ice station. Acta Oceanologica Sinica 39:9, pages 125-132.
Crossref
Marina Riabiz, Tohid Ardeshiri, Ioannis Kontoyiannis & Simon Godsill. (2020) Nonasymptotic Gaussian Approximation for Inference With Stable Noise. IEEE Transactions on Information Theory 66:8, pages 4966-4991.
Crossref
Shinji Kakinaka & Ken Umeno. (2020) Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws. Chaos: An Interdisciplinary Journal of Nonlinear Science 30:7.
Crossref
Jhames M. Sampaio & Pedro A. Morettin. (2020) Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models. Econometrics and Statistics 15, pages 67-83.
Crossref
Kai Liu, Pawel D. Domanski & YangQuan Chen. (2020) Control Performance Assessment with Fractional Lower Order Moments. Control Performance Assessment with Fractional Lower Order Moments.
Baris Satar, Gokhan Soysal, Xue Jiang, Murat Efe & Thiagalingam Kirubarajan. (2020) Robust Weighted l1,2 Norm Filtering in Passive Radar Systems. Sensors 20:11, pages 3270.
Crossref
Siroos Khademalomoom & Paresh Kumar Narayan. (2020) Intraday-of-the-week effects: What do the exchange rate data tell us?. Emerging Markets Review 43, pages 100681.
Crossref
Kristoffer Hagglund & Erik Axell. (2020) Adaptive Demodulation in Symmetric Alpha-Stable Impulse Noise Channels. Adaptive Demodulation in Symmetric Alpha-Stable Impulse Noise Channels.
Justyna Hebda-Sobkowicz, Radosław Zimroz & Agnieszka Wyłomańska. (2020) Selection of the Informative Frequency Band in a Bearing Fault Diagnosis in the Presence of Non-Gaussian Noise—Comparison of Recently Developed Methods. Applied Sciences 10:8, pages 2657.
Crossref
Phuc HO DANG & Truc Giang VO THİ. (2020) Gaussian copula of stable random vectors and application. Hacettepe Journal of Mathematics and Statistics 49:2, pages 887-901.
Crossref
Shinji Kakinaka & Ken Umeno. (2020) Characterizing Cryptocurrency Market with Lévy’s Stable Distributions. Journal of the Physical Society of Japan 89:2, pages 024802.
Crossref
Anirban Sarkar, B. N. Shivakiran Bhaktha & Jonathan Andreasen. (2020) Replica Symmetry Breaking in a Weakly Scattering Optofluidic Random Laser. Scientific Reports 10:1.
Crossref
Heni Boubaker. (2019) Wavelet Estimation Performance of Fractional Integrated Processes with Heavy-Tails. Computational Economics 55:2, pages 473-498.
Crossref
Yongbin Li, Bin Wang, Gaoping Shao & Shuai Shao. (2020) Automatic Modulation Classification for Short Burst Underwater Acoustic Communication Signals Based on Hybrid Neural Networks. IEEE Access 8, pages 227793-227809.
Crossref
Jesus G. Servin-Aguilar, Luis Rizo-Dominguez, Jorge A. Pardinas-Mir, Cesar Vargas-Rosales & Ivan Padilla-Cantoya. (2020) Epilepsy Seizure Detection: A Heavy Tail Approach. IEEE Access 8, pages 208170-208178.
Crossref
Yongbin Li, Bin Wang, Gaoping Shao, Shuai Shao & Xilong Pei. (2020) Blind Detection of Underwater Acoustic Communication Signals Based on Deep Learning. IEEE Access 8, pages 204114-204131.
Crossref
Paweł D. DomańskiPaweł D. Domański. 2020. Control Performance Assessment: Theoretical Analyses and Industrial Practice. Control Performance Assessment: Theoretical Analyses and Industrial Practice 53 74 .
Daniel Traian Pele & Miruna Mazurencu-Marinescu-Pele. (2019) Metcalfe's law and log-period power laws in the cryptocurrencies market. Economics 13:1.
Crossref
Sébastien Fries & Jean-Michel Zakoian. (2019) MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES. Econometric Theory 35:6, pages 1234-1270.
Crossref
Xuemei Qin, Yunfei Zheng & Badong Chen. (2019) Extract EEG Features by Combining Power Spectral Density and Correntropy Spectral Density. Extract EEG Features by Combining Power Spectral Density and Correntropy Spectral Density.
Retius Chifurira & Knowledge Chinhamu. (2019) Evaluating South Africa’s market risk using asymmetric power auto-regressive conditional heteroscedastic model under heavy-tailed distributions. Journal of Economic and Financial Sciences 12:1.
Crossref
Ya-nan Tian, Xiao Han, Jing-wei Yin, Qing-yu Liu & Lin Li. (2019) Group sparse underwater acoustic channel estimation with impulsive noise: Simulation results based on Arctic ice cracking noise. The Journal of the Acoustical Society of America 146:4, pages 2482-2491.
Crossref
Mauro De Freitas, Malcolm Egan, Laurent Clavier, Anne Savard & Jean-Marie Gorce. (2019) Power Control in Parallel Symmetric $\alpha$ -Stable Noise Channels. Power Control in Parallel Symmetric $\alpha$ -Stable Noise Channels.
Wendson A. S. Barbosa, Edison J. Rosero, Jorge R. Tredicce & José R. Rios Leite. (2019) Statistics of chaos in a bursting laser. Physical Review A 99:5.
Crossref
M. Gomez‐Garcia, A. Matsumura, D. Ogawada & K. Takahashi. (2019) Time Scale Decomposition of Climate and Correction of Variability Using Synthetic Samples of Stable Distributions. Water Resources Research 55:5, pages 3632-3658.
Crossref
Bin Han, Yang Lu, Kai Wan & Hans D. Schotten. (2019) Merging the Bernoulli–Gaussian and symmetric -stable models for impulsive noises in narrowband power line channels . Physical Communication 33, pages 135-141.
Crossref
Emilian R. Vankov, Michele Guindani & Katherine B. Ensor. (2019) Filtering and Estimation for a Class of Stochastic Volatility Models with Intractable Likelihoods. Bayesian Analysis 14:1.
Crossref
Sergio Ortobelli Lozza, Enrico Angelelli & Alda Ndoci. (2018) Timing portfolio strategies with exponential Lévy processes. Computational Management Science 16:1-2, pages 97-127.
Crossref
Pedro T. V. De Souza, Aluisio I. R. Fontes, Vinicius S. V. De Souza & Luiz F. Silveira. (2019) A Novel Signal Detector in MIMO Systems Based on Complex Correntropy. IEEE Access 7, pages 137517-137527.
Crossref
Mang Gao, Gang Yu & Tao Wang. (2019) Impulsive Gear Fault Diagnosis Using Adaptive Morlet Wavelet Filter Based on Alpha-Stable Distribution and Kurtogram. IEEE Access 7, pages 72283-72296.
Crossref
Zhongtao Luo & Yangyong Zhang. (2019) Novel Nonlinearity Based on Gaussianization and Generalized Matching for Impulsive Noise Suppression. IEEE Access 7, pages 65163-65173.
Crossref
Andrii Bielinskyi, Serhiy Semerikov, Viktoria Solovieva & Vladimir Soloviev. (2019) Levy’s stable distribution for stock crash detecting. SHS Web of Conferences 65, pages 06006.
Crossref
Guoli Song, Xinyi Guo & Li Ma. (2019) The Alpha stable distribution in ocean ambient noise modelling. MATEC Web of Conferences 283, pages 08002.
Crossref
Siroos Khademalomoom & Paresh Kumar Narayan. (2019) Intraday effects of the currency market. Journal of International Financial Markets, Institutions and Money 58, pages 65-77.
Crossref
Basile L. Agba, Fabien Sacuto, Minh Au, Fabrice Labeau & François GagnonBasile L. Agba, Fabien Sacuto, Minh Au, Fabrice Labeau & François Gagnon. 2019. Wireless Communications for Power Substations: RF Characterization and Modeling. Wireless Communications for Power Substations: RF Characterization and Modeling 141 167 .
Zhongtao Luo, Peng Lu & Gang Zhang. (2018) Locally optimal detector design in impulsive noise with unknown distribution. EURASIP Journal on Advances in Signal Processing 2018:1.
Crossref
Rongpeng Li, Zhifeng Zhao, Chen Qi & Honggang Zhang. 2018. 5G Networks: Fundamental Requirements, Enabling Technologies, and Operations Management. 5G Networks: Fundamental Requirements, Enabling Technologies, and Operations Management 453 498 .
Bidroha Basu & Vikram Pakrashi. (2018) Parameter estimates of alpha-stable distribution and Hurst coefficients. Journal of Environmental Engineering and Science 13:3, pages 53-72.
Crossref
. 2018. Fundamental Statistical Inference. Fundamental Statistical Inference 537 560 .
Paola Stolfi, Mauro Bernardi & Lea Petrella. (2018) The sparse method of simulated quantiles: An application to portfolio optimization. Statistica Neerlandica 72:3, pages 375-398.
Crossref
Sofiane Kharbech, Iyad Dayoub, Marie Zwingelstein-Colin & Eric Pierre Simon. (2018) Blind Digital Modulation Identification for MIMO Systems in Railway Environments With High-Speed Channels and Impulsive Noise. IEEE Transactions on Vehicular Technology 67:8, pages 7370-7379.
Crossref
Peng Lu, Zhongtao Luo & Yangyong Zhang. (2018) The Gaussianization and Generalized Matching Method for Robust Detection in Impulsive Noise. The Gaussianization and Generalized Matching Method for Robust Detection in Impulsive Noise.
Victor M. H. Ong, David J. Nott, Minh-Ngoc Tran, Scott A. Sisson & Christopher C. Drovandi. (2017) Variational Bayes with synthetic likelihood. Statistics and Computing 28:4, pages 971-988.
Crossref
Kai Liu, YangQuan Chen, Paweł Domański & Xi Zhang. (2018) A Novel Method for Control Performance Assessment with Fractional Order Signal Processing and Its Application to Semiconductor Manufacturing. Algorithms 11:7, pages 90.
Crossref
Hongwen Guo, Paul D. Deane, Peter W. van Rijn, Mo Zhang & Randy E. Bennett. (2018) Modeling Basic Writing Processes From Keystroke Logs. Journal of Educational Measurement 55:2, pages 194-216.
Crossref
Yi Hou, Rongke Liu, Bin Dai & Ling Zhao. (2018) Joint Channel Estimation and LDPC Decoding Over Time-Varying Impulsive Noise Channels. IEEE Transactions on Communications 66:6, pages 2376-2383.
Crossref
Oskar Glowacki, Grant B. Deane & Mateusz Moskalik. (2018) The Intensity, Directionality, and Statistics of Underwater Noise From Melting Icebergs. Geophysical Research Letters 45:9, pages 4105-4113.
Crossref
Ramona Serrano-Bautista & Leovardo Mata-Mata. (2018) ESTIMACIÓN DEL VAR MEDIANTE UN MODELO CONDICIONAL MULTIVARIADO BAJO LA HIPÓTESIS Α-ESTABLE SUB-GAUSSIANA. Ensayos Revista de Economía 37:1.
Crossref
Giuseppe Cavaliere, Iliyan Georgiev & A.M.Robert Taylor. (2016) UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS. Econometric Theory 34:2, pages 302-348.
Crossref
Jihad Fahs & Ibrahim Abou-Faycal. (2018) Information Measures, Inequalities and Performance Bounds for Parameter Estimation in Impulsive Noise Environments. IEEE Transactions on Information Theory 64:3, pages 1825-1844.
Crossref
Marina Riabiz, Tohid Ardeshiri, Ioannis Kontoyiannis & Simon Godsill. (2017) Simulated convergence rates with application to an intractable α-stable inference problem. Simulated convergence rates with application to an intractable α-stable inference problem.
Matylda Jabłońska-Sabuka, Marek Teuerle & Agnieszka Wyłomańska. (2017) Bivariate sub-Gaussian model for stock index returns. Physica A: Statistical Mechanics and its Applications 486, pages 628-637.
Crossref
Iliyan Georgiev, Paulo M. M. Rodrigues & A. M. Robert Taylor. (2017) Unit Root Tests and Heavy‐Tailed Innovations. Journal of Time Series Analysis 38:5, pages 733-768.
Crossref
Bogdan Dima & Ştefana Maria Dima. (2017) Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. International Review of Economics & Finance 51, pages 36-59.
Crossref
Guillermo Julián-Moreno, Jorge E. López de Vergara, Iván González, Luis de Pedro, Javier Royuela-del-Val & Federico Simmross-Wattenberg. (2016) Fast parallel $$\alpha $$ α -stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs. Statistics and Computing 27:5, pages 1365-1382.
Crossref
Deshen Wang. (2017) Adjustable Robust Singular Value Decomposition: Design, Analysis and Application to Finance. Data 2:3, pages 29.
Crossref
Frédéric Héliodore, Amir Nakib, Boussaad Ismail, Salma Ouchraa & Laurent Schmitt. 2017. Metaheuristics for Intelligent Electrical Networks. Metaheuristics for Intelligent Electrical Networks 251 264 .
Antonio Díaz, Gonzalo García-Donato & Andrés Mora-Valencia. (2017) Risk quantification in turmoil markets. Risk Management 19:3, pages 202-224.
Crossref
Bismarck C. Lima, Pablo I. R. Pincheira, Ernesto P. Raposo, Leonardo de S. Menezes, Cid B. de Araújo, Anderson S. L. Gomes & Raman Kashyap. (2017) Extreme-value statistics of intensities in a cw-pumped random fiber laser. Physical Review A 96:1.
Crossref
Cid Araújo, Anderson Gomes & Ernesto Raposo. (2017) Lévy Statistics and the Glassy Behavior of Light in Random Fiber Lasers. Applied Sciences 7:7, pages 644.
Crossref
Rongpeng Li, Zhifeng Zhao, Jianchao Zheng, Chengli Mei, Yueming Cai & Honggang Zhang. (2017) The Learning and Prediction of Application-Level Traffic Data in Cellular Networks. IEEE Transactions on Wireless Communications 16:6, pages 3899-3912.
Crossref
Zhen Mei, Martin Johnston, Stephane Le Goff & Li Chen. (2017) Performance Analysis of LDPC-Coded Diversity Combining on Rayleigh Fading Channels With Impulsive Noise. IEEE Transactions on Communications 65:6, pages 2345-2356.
Crossref
Piotr Kruczek, Agnieszka Wyłomańska, Marek Teuerle & Janusz Gajda. (2017) The modified Yule-Walker method for -stable time series models . Physica A: Statistical Mechanics and its Applications 469, pages 588-603.
Crossref
Bismarck C. Lima, Anderson S. L. Gomes, Pablo I. R. Pincheira, André L. Moura, Mathieu Gagné, Ernesto P. Raposo, Cid B. de Araújo & Raman Kashyap. (2017) Observation of Lévy statistics in one-dimensional erbium-based random fiber laser. Journal of the Optical Society of America B 34:2, pages 293.
Crossref
Mahdi Teimouri, Saeid Rezakhah & Adel Mohammadpour. (2017) -Statistic for Multivariate Stable Distributions . Journal of Probability and Statistics 2017, pages 1-12.
Crossref
Grzegorz Żak, Marek Teuerle, Agnieszka Wyłomańska & Radosław Zimroz. (2017) Measures of Dependence for -Stable Distributed Processes and Its Application to Diagnostics of Local Damage in Presence of Impulsive Noise . Shock and Vibration 2017, pages 1-9.
Crossref
Mohammadreza Hassannejad Bibalan, Hamidreza Amindavar & Maryam Amirmazlaghani. (2017) Characteristic function based parameter estimation of skewed alpha-stable distribution: An analytical approach. Signal Processing 130, pages 323-336.
Crossref
Marc S. Paolella. (2017) Asymmetric stable Paretian distribution testing. Econometrics and Statistics 1, pages 19-39.
Crossref
G A Gottwald & I Melbourne. (2016) On the detection of superdiffusive behaviour in time series. Journal of Statistical Mechanics: Theory and Experiment 2016:12, pages 123205.
Crossref
Yang Song, Gangyi Jiang, Mei Yu, Yun Zhang, Feng Shao & Zongju Peng. (2016) Naturalness index for a tone-mapped high dynamic range image. Applied Optics 55:35, pages 10084.
Crossref
George A. Chronis. (2016) Modelling the extreme variability of the US Consumer Price Index inflation with a stable non-symmetric distribution. Economic Modelling 59, pages 271-277.
Crossref
Annika Krutto. (2016) Parameter Estimation in Stable Law. Risks 4:4, pages 43.
Crossref
Junshan Luo, Shilian Wang & Wei Zhang. (2016) Stochastic signal detection based on changeable fractional lower order moments in alpha stable noise. Stochastic signal detection based on changeable fractional lower order moments in alpha stable noise.
Martín Gómez García & Toshio Koike. (2016) Parameter-estimation methods for symmetric stable distributions: Application to small samples of spatial fluctuations of rainfall. Spatial Statistics 17, pages 50-70.
Crossref
Yen-Chen Chiu & I-Yuan Chuang. (2016) The performance of the switching forecast model of value-at-risk in the Asian stock markets. Finance Research Letters 18, pages 43-51.
Crossref
I. V. Tregub. (2016) On the Applicability of the Random Walk Model with Stable Steps for Forecasting the Dynamics of Prices of Financial Tools in the Russian Market. Journal of Mathematical Sciences 216:5, pages 716-721.
Crossref
Anderson S. L. Gomes, Ernesto P. Raposo, André L. Moura, Serge I. Fewo, Pablo I. R. Pincheira, Vladimir Jerez, Lauro J. Q. Maia & Cid B. de Araújo. (2016) Observation of Lévy distribution and replica symmetry breaking in random lasers from a single set of measurements. Scientific Reports 6:1.
Crossref
Marc Paolella. (2016) Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. Econometrics 4:2, pages 25.
Crossref
Chen Qi, Zhifeng Zhao, Rongpeng Li & Honggang Zhang. (2016) Characterizing and Modeling Social Mobile Data Traffic in Cellular Networks. Characterizing and Modeling Social Mobile Data Traffic in Cellular Networks.
Vincent Dimanche, Alban Goupil, Laurent Clavier & Guillaume Gelle. (2016) Estimation of an approximated likelihood ratio for iterative decoding in impulsive environment. Estimation of an approximated likelihood ratio for iterative decoding in impulsive environment.
Eugenia Koblents, Joaquín Míguez, Marco A. Rodríguez & Alexandra M. Schmidt. (2016) A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of -stable distributions . Computational Statistics & Data Analysis 95, pages 57-74.
Crossref
Luo Junshan, Wang Shilian & Zhang Wei. (2016) Fractile-piecewise processing based spectrum sensing algorithms for underwater cognitive acoustics with impulsive noise. Fractile-piecewise processing based spectrum sensing algorithms for underwater cognitive acoustics with impulsive noise.
Nuri Celik, Samet Erden & M. Zeki Sarikaya. Comparing the estimation methods of stable distributions with respect to robustness properties. Comparing the estimation methods of stable distributions with respect to robustness properties.
Yu Dai, Yuan Xue & Jianxun Zhang. (2016) A continuous wavelet transform approach for harmonic parameters estimation in the presence of impulsive noise. Journal of Sound and Vibration 360, pages 300-314.
Crossref

Displaying 200 of 452 citing articles. Use the download link below to view the full list of citing articles.

Download full citations list

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.