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Maximum likelihood estimation and diagnostics for stable distributions

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posted on 2023-08-04, 08:45 authored by John Nolan

A program for maximum likelihood estimation of general stable parameters is described. The Fisher information matrix is computed, making large sample estimation of stable parameters a practical tool. In addition, diagnostics are developed for assessing the stability of a data set. Applications to simulated data, stock price data, foreign exchange rate data, radar data, and ocean wave energy are presented.

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Publisher

Springer

Notes

Published in: Lévy Processes pp. 379-400.

Handle

http://hdl.handle.net/1961/auislandora:83738

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    Mathematics & Statistics

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