Empirical cumulant function based parameter estimation in stable laws

Authors

  • Annika Krutto Institute of Mathematics and Statistics, University of Tartu, 50090 Tartu, Estonia

DOI:

https://doi.org/10.12697/ACUTM.2018.22.26

Keywords:

asymptotic normality, argument selection, characteristic function, covariance matrix, cumulant function, general stable law, point estimation, Monte–Carlo simulation

Abstract

Stable distributions are a subclass of infinitely divisible distributions that form the only family of possible limiting distributions for sums of independent identically distributed random variables. A challenging problem is estimating their parameters because many have densities with no explicit form and infinite moments. To address this problem, a class of closed-form estimators, called cumulant estimators, has been introduced. Cumulant estimators are derived from the logarithm of empirical characteristic function at two arbitrary distinct positive real arguments. This paper extends cumulant estimators in two directions: (i) it is proved that they are asymptotically normal and (ii) a sample based rule for selecting the two arguments is proposed. Extensive simulations show that under the provided selection rule, the closed-form cumulant estimators generally outperform the well-known algorithmic methods.

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Published

2019-01-02

Issue

Section

Articles