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Communications in Statistics - Theory and Methods Volume 11, 1982 - Issue 23
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Original Articles

Asymptotic distribution of regression type estimators of parameters of stable laws

Ioannis A. Koutrouvelis Department of Mathematical Sciences, Virginia Commonwealth University, Richmond, 23284, Virginia
&
David F Bauer Department of Mathematical Sciences, Virginia Commonwealth University, Richmond, 23284, Virginia
Pages 2715-2730 | Received 01 Dec 1981, Published online: 22 Jun 2010

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Daniel Traian Pele, Niels Wesselhöfft, Wolfgang Karl Härdle, Michalis Kolossiatis & Yannis G. Yatracos. (2023) Are cryptos becoming alternative assets?. The European Journal of Finance 29:10, pages 1064-1105.
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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.
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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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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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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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Articles from other publishers (5)

Shouwu Duan, Wanqing Song, Enrico Zio, Carlo Cattani & Ming Li. (2021) Product technical life prediction based on multi-modes and fractional Lévy stable motion. Mechanical Systems and Signal Processing 161, pages 107974.
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Arun Subramanian, Ashok Sundaresan & Pramod K. Varshney. (2015) Detection of Dependent Heavy-Tailed Signals. IEEE Transactions on Signal Processing 63:11, pages 2790-2803.
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John K. Dagsvik, Zhiyang Jia, Bjørn H. Vatne & Weizhen Zhu. (2011) Is the Pareto–Lévy law a good representation of income distributions?. Empirical Economics 44:2, pages 719-737.
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P. Besbeas & B. J. T. Morgan. (2008) Improved estimation of the stable laws. Statistics and Computing 18:2, pages 219-231.
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Andrew Luong & José Garrido. (2008) MINIMUM QUADRATIC DISTANCE ESTIMATION FOR A PARAMETRIC FAMILY OF DISCRETE DISTRIBUTIONS DEFINED RECURSIVELY. Australian Journal of Statistics 35:1, pages 59-67.
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