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Theory and Method

High-Efficiency Estimation for the Positive Stable Laws

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Pages 626-631 | Received 01 Aug 1979, Published online: 12 Mar 2012

References

  • Brockwell , P. J. and Brown , B. M. 1978 . “Expansions for the Positive Stable Laws,” . Zeitschrift für Wahrscheinlichkeitstheorie , 45 : 213 – 224 .
  • Brockwell , P. J. and Brown , B. M. 1979 . “Estimation for the Positive Stable Laws, I,” . Australian Journal of Statistics , 21 : 139 – 148 .
  • Du Mouchel , W. H. 1973 . “On the Asymptotic Normality of the Maximum Likelihood Estimator When Sampling From a Stable Distribution,” . Annals of Statistics , 1 : 948 – 957 .
  • Du Mouchel , W. H. 1975 . “Stable Distributions in Statistical Inference 2. Information From Stably Distributed Samples,” . Journal of the American Statistical Association , 70 : 386 – 393 .
  • Feller , W. 1971 . An Introduction to Probability Theory and Applications, , 2nd ed. , Vol 11 , New York : John Wiley .
  • Jarrett , R. G. 1973 . Efficiency and Estimation in Asymptotically Normal Distributions , doctoral thesis University of London .
  • Kufner , A. and Kadlec , J. 1971 . Fourier Series, English translation , Edited by: Toombs , G. A. London : Iliffe .
  • Paulson , A. S. , Holcomb , E. W. and Leitch , R. A. 1975 . “The Estimation of the Parameters of the Stable Laws,” . Biometrika , 62 : 163 – 170 .
  • Press , S. J. 1972 . “Estimation in Univariate and Multivariate Stable Distributions,” . Journal of the American Statistical Association , 67 : 842 – 846 .
  • Press , S. J. 1975 . “Stable Distributions: Probability, Inference, and Applications in Finance—A Survey, and a Review of Recent Results,” . In Statistical Distributions in Scientific Work, Vol. I , Edited by: Patil , G. B. , Kotz , S. and Ord , J. K. 87 – 102 . Dordrecht : D. Reidel .

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