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Estimating the wrapped stable distribution via indirect inference

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  • Marco Bee

Abstract

The wrapped stable distribution is a model for non-symmetric circular data. Maximum likelihood estimation is feasible, but computationally expensive and not exact, because the density does not exist in closed form. In light of these difficulties, we develop a constrained indirect inference approach based on a skewed-t auxiliary model. To improve the finite-sample properties of the estimators, we devise a bootstrap-based estimate of the weighting matrix employed in the indirect inference program. The simulation study suggests that the indirect inference estimators are definitely preferable to the maximum likelihood estimators as concerns computing time, and approximately equivalent in terms of root-mean-squared-error.

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  • Marco Bee, 2018. "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers 2018/11, Department of Economics and Management.
    • Handle: RePEc:trn:utwprg:2018/11
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    References listed on IDEAS

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    1. Saralees Nadarajah & Yuanyuan Zhang, 2017. "Wrapped: An R package for circular data," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-26, December.
    2. Rene Garcia & Eric Renault & David Veredas, 2011. "Estimation of stable distributions with indirect inference," ULB Institutional Repository 2013/136186, ULB -- Universite Libre de Bruxelles.
    3. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
    4. Marco J. Lombardi & Giorgio Calzolari, 2008. "Indirect Estimation of α-Stable Distributions and Processes," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 193-208, March.
    5. Pewsey, Arthur, 2008. "The wrapped stable family of distributions as a flexible model for circular data," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1516-1523, January.
    6. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(4), pages 945-973.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Indirect inference; directional statistics; stable distribution; weighting matrix;
    All these keywords.

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