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Maximum likelihood estimation and diagnostics for stable distributions. (English) Zbl 0971.62008
Barndorff-Nielsen, Ole E. (ed.) et al., Lévy processes. Theory and applications. Boston: Birkhäuser. 379-400 (2001).
Summary: A program for maximum likelihood estimation of general stable parameters is described. The Fisher information matrix is computed, making large sample estimation of stable parameters a practical tool. In addition, diagnostics are developed for assessing the stability of a data set. Applications to simulated data, stock price data, foreign exchange rate data, radar data, and ocean wave energy are presented.
For the entire collection see [Zbl 0961.00012].

MSC:
62F12 Asymptotic properties of parametric estimators
62J20 Diagnostics, and linear inference and regression
62P05 Applications of statistics to actuarial sciences and financial mathematics
62P99 Applications of statistics
Software:
STABLE
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