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Parameter Estimation in Stable Law

Author

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  • Annika Krutto

    (Institute of Mathematics and Statistics, University of Tartu, J. Liivi Str 2, Tartu 50409, Estonia)

Abstract

For general stable distribution, cumulant function based parameter estimators are proposed. Extensive simulation experiments are carried out to validate the effectiveness of the estimates over the entire parameter space. An application to non-life insurance losses distribution is made.

Suggested Citation

  • Annika Krutto, 2016. "Parameter Estimation in Stable Law," Risks, MDPI, vol. 4(4), pages 1-15, November.
    • Handle: RePEc:gam:jrisks:v:4:y:2016:i:4:p:43-:d:83700
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    References listed on IDEAS

    as
    1. Knight, John L. & Satchell, Stephen E., 1997. "The Cumulant Generating Function Estimation Method," Econometric Theory, Cambridge University Press, vol. 13(2), pages 170-184, April.
    2. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005. "Stable distributions," SFB 649 Discussion Papers 2005-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
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