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

摘要

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.