IDEAS home Printed from https://ideas.repec.org/a/spt/stecon/v1y2012i3f1_3_4.html
   My bibliography  Save this article

A Bayesian Estimation of Stable Distributions

Author

Listed:
  • Ece Oral
  • Cenap Erdemir

Abstract

Stable distributions are a rich class of probability distributions that are widely used to model leptokurtic data. Since the probability density and distribution functions are not known in closed form, stable distributions are often specified by their characteristic functions. This paper reviews both the techniques used to compute the density functions and the methods used to estimate parameters of the stable distributions. A new Bayesian approach using Metropolis random walk chain and direct numerical integration is proposed. The performance of the method is examined by a simulation study.

Suggested Citation

  • Ece Oral & Cenap Erdemir, 2012. "A Bayesian Estimation of Stable Distributions," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 1(3), pages 1-4.
    • Handle: RePEc:spt:stecon:v:1:y:2012:i:3:f:1_3_4
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JSEM%2fVol%201_3_4.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kimera Naradh & Retius Chifurira & Knowledge Chinhamu, 2022. "Analysis of stock exchange risk and currency in South African Financial Markets using stable parameter estimation," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 11(1), pages 120-131, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:stecon:v:1:y:2012:i:3:f:1_3_4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.