On the Estimation of Skewed Geometric Stable Distributions
2013 (English)Other (Other academic)
The increasing interest in the application of geometric stable distribu-tions has lead to a need for appropriate estimators. Building on recent procedures for estimating the Linnik distribution, this paper develops two estimators for the geometric stable distribution. Closed form expressions are provided for the signed and unsigned fractional momentsof the distribution. The estimators are then derived using the methods of fractional lower order moments and that of logarithmic moments. Their performance is tested on simulated data, where the lower order estimators, in particular, are found to give ecient results over most of the parameter space.
Place, publisher, year, edition, pages
Geometric stable distribution, Estimation, Fractional lower order moments, Logarithmic moments, Economics
Economics and Business
IdentifiersURN: urn:nbn:se:kth:diva-118332OAI: oai:DiVA.org:kth-118332DiVA: diva2:605660
QC 201302152013-02-142013-02-142013-02-15Bibliographically approved