Method-of-moments estimators of stable distribution parameters |
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Authors: | Bruce D. Fielitz James P. Rozelle |
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Affiliation: | Georgia State University Atlanta, Georgia 30303, USA |
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Abstract: | A method is developed for estimating the four parameters of stable Paretian distributions. Based on a procedure proposed by an earlier researcher but never developed, the method proves to be mathematically simple and easy to apply. The method is extensively tested and sampling properties of the estimators are studied, providing approximate confidence intervals for the estimators. |
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