Journal of Statistical and Econometric Methods
Joint robust parameter estimation for symmetric stable distributions
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this paper we present a robust parameter estimation method for jointly
estimating shape parameter á, scale parameter ã and location parameter
ä of a symmetric stable distribution. The proposed estimation method
is based on Probability Integral Transformation (PIT) and robust
M-estimators. The procedure is ready to use as besides the theoretical description
we provide the numerical algorithm and all constants and
approximations of functions necessary to compute the estimators. Robust
characteristics and the asymptotic behaviour of estimator á is investigated.
A simulation sequence was carried out to examine statistical properties
of the estimator á. We perform an application for a data set
of returns of some assets listed in Budapest Stock Exchange.
ISSN: 2241-0376 (Online)