Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters
- 1 January 1990
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 19 (4) , 1459-1464
- https://doi.org/10.1080/03610919008812928
Abstract
A method is developed to directly obtain maximum likelihood estimates of symmetric stable distribution parameters. This is a difficult estimation problem since the likelihood function is expressed as an integral. The estimation routine is tested on a Monte Carlo sample and produces reasonable estimates.Keywords
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