Statistical Inference for Stable Distribution Using EM algorithm
Statistics Theory
2018-11-13 v1 Statistics Theory
Abstract
The class of -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 -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 -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.
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
3 Figures, 1 Table