Maximum Likelihood Estimation and Diagnostics for Stable Distributions View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2001

AUTHORS

John P. Nolan

ABSTRACT

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. More... »

PAGES

379-400

Book

TITLE

Lévy Processes

ISBN

978-1-4612-6657-0
978-1-4612-0197-7

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-1-4612-0197-7_17

DOI

http://dx.doi.org/10.1007/978-1-4612-0197-7_17

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1003580914


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