Parameter Estimation for Symmetric Stable Distribution
A procedure is presented which is both direct and computationally feasible for the estimation of the parameters of the symmetric stable family. The most appealing property of the symmetric stable family is its invariance under convolution.The procedure presented uses a linearization of the sample ch...
Gespeichert in:
| Veröffentlicht in: | International economic review (Philadelphia) 1980-02, Vol.21 (1), p.209-220 |
|---|---|
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 220 |
|---|---|
| container_issue | 1 |
| container_start_page | 209 |
| container_title | International economic review (Philadelphia) |
| container_volume | 21 |
| creator | Arad, Ruth W. |
| description | A procedure is presented which is both direct and computationally feasible for the estimation of the parameters of the symmetric stable family. The most appealing property of the symmetric stable family is its invariance under convolution.The procedure presented uses a linearization of the sample characteristic function, the only aspect which is explicitly known for this distribution. All 3 parameters describing location, scale, and tail length are estimated simultaneously. The procedure uses Fama and Roll's estimates of location and scale for the initial standardization of data. Jackknifing procedures provide measures of standard errors. Jackknifing involves computing the estimators for all data and, after dividing the data into groups, repeating the computing of the estimators for each of the reduced bodies of data obtained by leaving out just one of the groups. |
| doi_str_mv | 10.2307/2526249 |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_journals_218952298</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>2526249</jstor_id><sourcerecordid>2526249</sourcerecordid><originalsourceid>FETCH-LOGICAL-c301t-1782a001738b3dbf010820f28329a751b09da42a847895b61dccd06469b6d01f3</originalsourceid><addsrcrecordid>eNp10EtLAzEQAOAgCtYq_oVFBU-rk0k2mxyl1gcUFKrnkOwDduk2Ncke-u9N2V6by5DhmxlmCLml8IQMymcsUCBXZ2RGuZA5soKfkxkAQi4KJS_JVQg9AAjGyxkR38aboYmNz5YhdoOJndtmrfPZej-kvO-qbB2N3TTZaxfS144HcU0uWrMJzc0xzsnv2_Jn8ZGvvt4_Fy-rvGJAY05LiQaAlkxaVtsWKEiEFiVDZcqCWlC14WgkL6UqrKB1VdUguFBW1EBbNid3U9-dd39jE6Lu3ei3aaRGmkoQlUzo_hSiqNLjXBRJPU6q8i4E37R659O-fq8p6MPl9PFyST5Msg_R-ZPsH52KaCg</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1299994465</pqid></control><display><type>article</type><title>Parameter Estimation for Symmetric Stable Distribution</title><source>Jstor Complete Legacy</source><source>Periodicals Index Online</source><source>EBSCOhost Business Source Complete</source><creator>Arad, Ruth W.</creator><creatorcontrib>Arad, Ruth W.</creatorcontrib><description>A procedure is presented which is both direct and computationally feasible for the estimation of the parameters of the symmetric stable family. The most appealing property of the symmetric stable family is its invariance under convolution.The procedure presented uses a linearization of the sample characteristic function, the only aspect which is explicitly known for this distribution. All 3 parameters describing location, scale, and tail length are estimated simultaneously. The procedure uses Fama and Roll's estimates of location and scale for the initial standardization of data. Jackknifing procedures provide measures of standard errors. Jackknifing involves computing the estimators for all data and, after dividing the data into groups, repeating the computing of the estimators for each of the reduced bodies of data obtained by leaving out just one of the groups.</description><identifier>ISSN: 0020-6598</identifier><identifier>EISSN: 1468-2354</identifier><identifier>DOI: 10.2307/2526249</identifier><language>eng</language><publisher>Philadelphia, Pa: The Wharton School of Finance and Commerce, University of Pennsylvania, and the Osaka University Institute of Social and Economic Research Association</publisher><subject>Distribution ; Econometrics ; Eigenfunctions ; Estimating techniques ; Estimation methods ; Estimators ; Mathematical independent variables ; Non Gaussianity ; Parameter estimation ; Petroleum ; Preliminary estimates ; Statistical methods ; Statistical variance ; Stock prices ; Symbols</subject><ispartof>International economic review (Philadelphia), 1980-02, Vol.21 (1), p.209-220</ispartof><rights>Copyright 1980 Wharton School of Finance and Commerce, University of Pennsylvania, and the Osaka University Institute of Social and Economic Research Association</rights><rights>Copyright Blackwell Publishers Inc. Feb 1980</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c301t-1782a001738b3dbf010820f28329a751b09da42a847895b61dccd06469b6d01f3</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/2526249$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/2526249$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,776,780,799,27846,27901,27902,57992,58225</link.rule.ids></links><search><creatorcontrib>Arad, Ruth W.</creatorcontrib><title>Parameter Estimation for Symmetric Stable Distribution</title><title>International economic review (Philadelphia)</title><description>A procedure is presented which is both direct and computationally feasible for the estimation of the parameters of the symmetric stable family. The most appealing property of the symmetric stable family is its invariance under convolution.The procedure presented uses a linearization of the sample characteristic function, the only aspect which is explicitly known for this distribution. All 3 parameters describing location, scale, and tail length are estimated simultaneously. The procedure uses Fama and Roll's estimates of location and scale for the initial standardization of data. Jackknifing procedures provide measures of standard errors. Jackknifing involves computing the estimators for all data and, after dividing the data into groups, repeating the computing of the estimators for each of the reduced bodies of data obtained by leaving out just one of the groups.</description><subject>Distribution</subject><subject>Econometrics</subject><subject>Eigenfunctions</subject><subject>Estimating techniques</subject><subject>Estimation methods</subject><subject>Estimators</subject><subject>Mathematical independent variables</subject><subject>Non Gaussianity</subject><subject>Parameter estimation</subject><subject>Petroleum</subject><subject>Preliminary estimates</subject><subject>Statistical methods</subject><subject>Statistical variance</subject><subject>Stock prices</subject><subject>Symbols</subject><issn>0020-6598</issn><issn>1468-2354</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1980</creationdate><recordtype>article</recordtype><sourceid>K30</sourceid><recordid>eNp10EtLAzEQAOAgCtYq_oVFBU-rk0k2mxyl1gcUFKrnkOwDduk2Ncke-u9N2V6by5DhmxlmCLml8IQMymcsUCBXZ2RGuZA5soKfkxkAQi4KJS_JVQg9AAjGyxkR38aboYmNz5YhdoOJndtmrfPZej-kvO-qbB2N3TTZaxfS144HcU0uWrMJzc0xzsnv2_Jn8ZGvvt4_Fy-rvGJAY05LiQaAlkxaVtsWKEiEFiVDZcqCWlC14WgkL6UqrKB1VdUguFBW1EBbNid3U9-dd39jE6Lu3ei3aaRGmkoQlUzo_hSiqNLjXBRJPU6q8i4E37R659O-fq8p6MPl9PFyST5Msg_R-ZPsH52KaCg</recordid><startdate>19800201</startdate><enddate>19800201</enddate><creator>Arad, Ruth W.</creator><general>The Wharton School of Finance and Commerce, University of Pennsylvania, and the Osaka University Institute of Social and Economic Research Association</general><general>University of Pennsylvania, Economics Dept., and Osaka University Institute of Social and Economic Research</general><general>Blackwell Publishing Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>HFIND</scope><scope>IBDFT</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19800201</creationdate><title>Parameter Estimation for Symmetric Stable Distribution</title><author>Arad, Ruth W.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c301t-1782a001738b3dbf010820f28329a751b09da42a847895b61dccd06469b6d01f3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1980</creationdate><topic>Distribution</topic><topic>Econometrics</topic><topic>Eigenfunctions</topic><topic>Estimating techniques</topic><topic>Estimation methods</topic><topic>Estimators</topic><topic>Mathematical independent variables</topic><topic>Non Gaussianity</topic><topic>Parameter estimation</topic><topic>Petroleum</topic><topic>Preliminary estimates</topic><topic>Statistical methods</topic><topic>Statistical variance</topic><topic>Stock prices</topic><topic>Symbols</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Arad, Ruth W.</creatorcontrib><collection>CrossRef</collection><collection>Periodicals Index Online Segment 16</collection><collection>Periodicals Index Online Segment 27</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>International economic review (Philadelphia)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Arad, Ruth W.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Parameter Estimation for Symmetric Stable Distribution</atitle><jtitle>International economic review (Philadelphia)</jtitle><date>1980-02-01</date><risdate>1980</risdate><volume>21</volume><issue>1</issue><spage>209</spage><epage>220</epage><pages>209-220</pages><issn>0020-6598</issn><eissn>1468-2354</eissn><abstract>A procedure is presented which is both direct and computationally feasible for the estimation of the parameters of the symmetric stable family. The most appealing property of the symmetric stable family is its invariance under convolution.The procedure presented uses a linearization of the sample characteristic function, the only aspect which is explicitly known for this distribution. All 3 parameters describing location, scale, and tail length are estimated simultaneously. The procedure uses Fama and Roll's estimates of location and scale for the initial standardization of data. Jackknifing procedures provide measures of standard errors. Jackknifing involves computing the estimators for all data and, after dividing the data into groups, repeating the computing of the estimators for each of the reduced bodies of data obtained by leaving out just one of the groups.</abstract><cop>Philadelphia, Pa</cop><pub>The Wharton School of Finance and Commerce, University of Pennsylvania, and the Osaka University Institute of Social and Economic Research Association</pub><doi>10.2307/2526249</doi><tpages>12</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0020-6598 |
| ispartof | International economic review (Philadelphia), 1980-02, Vol.21 (1), p.209-220 |
| issn | 0020-6598 1468-2354 |
| language | eng |
| recordid | cdi_proquest_journals_218952298 |
| source | Jstor Complete Legacy; Periodicals Index Online; EBSCOhost Business Source Complete |
| subjects | Distribution Econometrics Eigenfunctions Estimating techniques Estimation methods Estimators Mathematical independent variables Non Gaussianity Parameter estimation Petroleum Preliminary estimates Statistical methods Statistical variance Stock prices Symbols |
| title | Parameter Estimation for Symmetric Stable Distribution |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-04T06%3A07%3A46IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Parameter%20Estimation%20for%20Symmetric%20Stable%20Distribution&rft.jtitle=International%20economic%20review%20(Philadelphia)&rft.au=Arad,%20Ruth%20W.&rft.date=1980-02-01&rft.volume=21&rft.issue=1&rft.spage=209&rft.epage=220&rft.pages=209-220&rft.issn=0020-6598&rft.eissn=1468-2354&rft_id=info:doi/10.2307/2526249&rft_dat=%3Cjstor_proqu%3E2526249%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1299994465&rft_id=info:pmid/&rft_jstor_id=2526249&rfr_iscdi=true |