Comparing the Estimation Methods of Stable Distributions with Respect to Robustness Properties
Yükleniyor...
Dosyalar
Tarih
2016
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Amer Inst Physics
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In statistical applications, some data set may exhibit the features like high skewness and kurtosis and heavy tailness that are incompatible with the normality assumption especially in finance and engineering. For these reason, the modeling of the data sets with alpha stable distributions will be reasonable approach. The stable distributions have four parameters. In literature, the estimation methods have been studied in order to estimate these unknown model parameters. In this study, we give small information about these proposed estimation methods and we compare these estimators with respect to robustness properties with a comprehensive simulation study, since the robustness property of an estimator has been an important tool for an appropriate modeling.
Açıklama
International Conference on Advances in Natural and Applied Sciences (ICANAS) -- APR 21-23, 2016 -- Antalya, TURKEY
WOS: 000376001000041
WOS: 000376001000041
Anahtar Kelimeler
Kaynak
International Conference On Advances In Natural And Applied Sciences: Icanas 2016
WoS Q Değeri
N/A
Scopus Q Değeri
N/A
Cilt
1726
