Parameter estimation of sub-Gaussian stable distributions

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F14%3A00439707" target="_blank" >RIV/67985556:_____/14:00439707 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.14736/kyb-2014-6-0929" target="_blank" >http://dx.doi.org/10.14736/kyb-2014-6-0929</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14736/kyb-2014-6-0929" target="_blank" >10.14736/kyb-2014-6-0929</a>

Result language

angličtina

Original language name

Parameter estimation of sub-Gaussian stable distributions

Original language description

In this paper, we present a parameter estimation method for sub-Gaussian stable distributions. Our algorithm has two phases: in the first phase, we calculate the average values of harmonic functions of observations and in the second phase, we conduct themain procedure of asymptotic maximum likelihood where those average values are used as inputs. This implies that the main procedure of our method does not depend on the sample size of observations. The main idea of our method lies in representing the partial derivative of the density function with respect to the parameter that we estimate as the sum of harmonic functions and using this representation for finding this parameter. For fifteen summands we get acceptable precision. We demonstrate this methodology on estimating the tail index and the dispersion matrix of sub-Gaussian distributions.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GA13-14445S" target="_blank" >GA13-14445S: New Trends in Stochastic Economic Models under Uncertainty</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

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Volume of the periodical

50

Issue of the periodical within the volume

6

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

21

Pages from-to

929-949

UT code for WoS article

000348961900006

EID of the result in the Scopus database

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