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Risks 2016, 4(4), 43; doi:10.3390/risks4040043

Parameter Estimation in Stable Law

Institute of Mathematics and Statistics, University of Tartu, J. Liivi Str 2, Tartu 50409, Estonia
Academic Editor: Meelis Käärik
Received: 22 September 2016 / Revised: 7 November 2016 / Accepted: 21 November 2016 / Published: 25 November 2016
View Full-Text   |   Download PDF [405 KB, uploaded 25 November 2016]   |  

Abstract

For general stable distribution, cumulant function based parameter estimators are proposed. Extensive simulation experiments are carried out to validate the effectiveness of the estimates over the entire parameter space. An application to non-life insurance losses distribution is made. View Full-Text
Keywords: bootstrap; characteristic function; cumulant function; parameter estimation; simulation; severity distribution bootstrap; characteristic function; cumulant function; parameter estimation; simulation; severity distribution
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Krutto, A. Parameter Estimation in Stable Law. Risks 2016, 4, 43.

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