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Original Articles

An iterative procedure for the estimation of the parameters of stable laws

An iterative procedure for the estimation

Pages 17-28 | Received 01 May 1990, Published online: 27 Jun 2007

References

  • Chambers , J.M. , Mallows , C.L. and Stuck , B.W. 1976 . A new method for simulating stable random variables . J. Amer. Statist. Assoc , 71 : 340 – 344 .
  • Fama , E.F. and Roll , R. 1968 . Some properties of symmetric stable distributions . J. Amer. Statist. Assoc , 63 : 817 – 836 .
  • Fama , E.F. and Roll , R. 1971 . Parameter estimates for symmetric stable distributions . J. Amer. Statist. Assoc , 66 : 331 – 338 .
  • Heathcote , C.R. 1977 . The integrated squared error estimation of parameters . Biometrika , 64 : 255 – 264 .
  • Kendall , M.G. and Stuart , A. 1977 . The Advanced Theory of Statistics , London : Griffin .
  • Koutrouvelis , I.A. 1980 . Regression-type estimation of the parameters of stable laws . J. Amer. Statist. Assoc ,
  • 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 . J. Amer. Statist. Assoc , 67 : 842 – 846 .

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