An estimation procedure for the Linnik distribution

An estimation procedure for the Linnik distribution

We propose estimators for the parameters of the Linnik L( α , γ ) distribution. The estimators are derived from the moments of the log-transformed Linnik distributed random variable, and are shown to be asymptotically unbiased. The estimation algorithm is computationally simple and less restrictive....

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Veröffentlicht in:Statistical papers (Berlin, Germany) Germany), 2012-08, Vol.53 (3), p.617-628
1. Verfasser: Cahoy, Dexter O.
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Estimates
Finance
Insurance
Management
Mathematics and Statistics
Operations Research/Decision Theory
Parameter estimation
Probability Theory and Stochastic Processes
Random variables
Regular Article
Statistics
Statistics for Business
Studies
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Beschreibung
Zusammenfassung:We propose estimators for the parameters of the Linnik L( α , γ ) distribution. The estimators are derived from the moments of the log-transformed Linnik distributed random variable, and are shown to be asymptotically unbiased. The estimation algorithm is computationally simple and less restrictive. Our procedure is also tested using simulated data.
ISSN:0932-5026
1613-9798
DOI:10.1007/s00362-011-0367-4