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Efficient and robust estimation for the one-sided stable distribution of index

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  • Besbeas, Panagiotis
  • J.T. Morgan, Byron

Abstract

We show how the empirical Laplace transform provides a simple estimation procedure for the one-sided stable distribution of index that is both efficient and robust.

Suggested Citation

  • Besbeas, Panagiotis & J.T. Morgan, Byron, 2004. "Efficient and robust estimation for the one-sided stable distribution of index," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 251-257, February.
    • Handle: RePEc:eee:stapro:v:66:y:2004:i:3:p:251-257
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    References listed on IDEAS

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    1. Besbeas, Panagiotis & Morgan, Byron J. T., 2001. "Integrated squared error estimation of Cauchy parameters," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 397-401, December.
    2. Q. Yao & B. J. T. Morgan, 1999. "Empirical transform estimation for indexed stochastic models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 127-141.
    3. A. S. Paulson & E. H. Nicklin, 1983. "Integrated Distance Estimators for Linear Models Applied to Some Published Data Sets," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 32(1), pages 32-50, March.
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