Estimation of Parameters of Stable Distributions

Details Estimation of Parameters of Stable Distributions Estimation of Parameters of Stable Distributions

2006-11-19

arxiv.org/abs/math/0611567v1

Mathematics

Statistics Theory

15 pages

Scientific paper

In this paper, we propose a method based on GMM (the generalized method of
moments) to estimate the parameters of stable distributions with $0<\alpha<2$.
We don't assume symmetry for stable distributions.

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