A Family of Algorithms for the Estimation of the Parameters of the Stable Laws and the Parameters of Attracting Stable Laws.

Abstract

This document presents an iteractive and adaptive algorithm for joint estimation of stable law parameters, using the empirical characteristic function. The algorithm is flexible in that either of two procedures may be selected, and subsets of the parameters may be allowed to vary freely, with others constrained or held constant. The algorithm may also be used to provide informal estimates of the parameters of the law to which a sample distribution is attracted. Keywords: Sensitivity analysis; Nonlinear optimization.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1986
Accession Number
ADA178542

Entities

People

  • A. S. Paulson
  • T. A. Delehanty

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Algorithms
  • Computational Science
  • Computations
  • Convergence
  • Covariance
  • Curve Fitting
  • Data Analysis
  • Data Science
  • Efficiency
  • Errors
  • Estimators
  • Indicators
  • Information Science
  • Optimization
  • Precision
  • Statistical Inference
  • Statistics

Readers

  • Economics
  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)
  • Regression Analysis.