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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