Artikel

An universal, simple, circular statistics-based estimator of » for symmetric stable family

The aim of this article is to obtain a simple and efficient estimator of the index parameter of symmetric stable distribution that holds universally, i.e., over the entire range of the parameter. We appeal to directional statistics on the classical result on wrapping of a distribution in obtaining the wrapped stable family of distributions. The performance of the estimator obtained is better than the existing estimators in the literature in terms of both consistency and efficiency. The estimator is applied to model some real life financial datasets. A mixture of normal and Cauchy distributions is compared with the stable family of distributions when the estimate of the parameter α lies between 1 and 2. A similar approach can be adopted when alpha (or its estimate) belongs to (0.5,1). In this case, one may compare with a mixture of Laplace and Cauchy distributions. A new measure of goodness of fit is proposed for the above family of distributions.

Language
Englisch

Bibliographic citation
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 4 ; Pages: 1-28 ; Basel: MDPI

Classification
Wirtschaft
Subject
asymptotic
characteristic function-based estimator
efficiency
estimation
Hill estimator
Index parameter
wrapped stable

Event
Geistige Schöpfung
(who)
SenGupta, Ashis
Roy, Moumita
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2019

DOI
doi:10.3390/jrfm12040171
Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Object type

  • Artikel

Associated

  • SenGupta, Ashis
  • Roy, Moumita
  • MDPI

Time of origin

  • 2019

Other Objects (12)