SIMPLE ESTIMATOR AND CONSISTENT STRONGLY OF STABLE DISTRIBUTIONS

Authors

  • Cira Guevara Otiniano
  • Thiago Sousa

DOI:

https://doi.org/10.17268/sel.mat.2016.01.04

Keywords:

Levy stable distribution, Mellin transform, Scale estimator

Abstract

Stable distributions are extensively used to analyze earnings of financial assets, such as exchange rates and stock prices assets. In this paper we propose a simple and strongly consistent estimator for the scale parameter of a symmetric stable Levy distribution. The advantage of this estimator is that your computational time is minimum thus it can be used to initialize intensive computational procedure such as maximum likelihood. With random samples of sized n we tested
the efficacy of these estimators by Monte Carlo method. We also included applications for three data sets.

References

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Published

2016-06-30

How to Cite

Guevara Otiniano, C., & Sousa, T. (2016). SIMPLE ESTIMATOR AND CONSISTENT STRONGLY OF STABLE DISTRIBUTIONS. Selecciones Matemáticas, 3(01), 25-31. https://doi.org/10.17268/sel.mat.2016.01.04

Issue

Vol. 3 No. 01 (2016): January - July

Section

Articles

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