1975/01/01 by A. S. Paulson, E. W. Holcomb, Robert A. Leitch · 3 citations
Economics, Econometrics and Finance · Physics and Astronomy · Mathematics · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Statistical Mechanics and Entropy #Estimation #Library science #Law #Mathematics #Political science #Management #Computer science
paper · doi:10.1093/biomet/62.1.163
openalex publication_date 1975/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/06/16
Estimation of the parameters of the stable laws is considered for samples of size at least 50. The modulus of the difference between the empirical and theoretical characteristic functions is weighted and integrated over the real line; this function of the sample values and the parameters is then minimized with respect to the parameters via a gradient search routine nested within a sequential search. Extensive simulation experiments validate the effectiveness of the estimation procedure over the entire parameter space. Application of the procedure to stock market price behaviour is made.