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Statistical Inference for Stable Distribution Using EM algorithm

Statistics Theory 2018-11-13 v1 Statistics Theory

Abstract

The class of α\alpha-stable distributions with a wide range of applications in economics, telecommunications, biology, applied, and theoretical physics. This is due to the fact that it possesses both the skewness and heavy tails. Since α\alpha-stable distribution suffers from a closed-form expression for density function, finding efficient estimators for its parameters has attracted a great deal of attention in the literature. Here, we propose some EM algorithm to estimate the maximum likelihood estimators of the parameters of α\alpha-stable distribution. The performance of the proposed EM algorithm is demonstrated via comparison study in the presence of other well-known competitors and analyzing three sets of real data.

Keywords

Cite

@article{arxiv.1811.04565,
  title  = {Statistical Inference for Stable Distribution Using EM algorithm},
  author = {Mahdi Teimouri},
  journal= {arXiv preprint arXiv:1811.04565},
  year   = {2018}
}

Comments

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