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Parameter Estimates for Symmetric Stable Distributions

 

作者: EugeneF. Fama,   Richard Roll,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1971)
卷期: Volume 66, issue 334  

页码: 331-338

 

ISSN:0162-1459

 

年代: 1971

 

DOI:10.1080/01621459.1971.10482264

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

Building on results of an earlier article [6], estimators are suggested for the scale parameter and characteristic exponent of symmetric stable distributions, and Monte Carlo studies of these estimators are reported. The powers of various goodness-of-fit tests of a Gaussian null hypothesis against non-Gaussian stable alternatives are also investigated. Finally, a test of the stability property of symmetric stable variables is suggested and demonstrated.

 

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