Asymptotically Efficient Estimation of Location for a Symmetric Stable Law
Fenech, Alan Paul
Ann. Statist., Tome 4 (1976) no. 1, p. 1088-1100 / Harvested from Project Euclid
A well-known characteristic function representation of the family of symmetric stable distributions $\mathscr{F}$ indexes them with a location, scale, and type parameter. A sample of size $n$ is taken from an unknown member of $\mathscr{F}$. In this paper, an estimator of the location parameter is constructed which is maximum probability. This means that the estimator conventionally normalized converges in distribution to a normal distribution with zero mean and variance the inverse of the Fisher Information.
Publié le : 1976-11-14
Classification:  Maximum probability estimator,  location parameter,  symmetric stable law,  62F10,  62E20
@article{1176343644,
     author = {Fenech, Alan Paul},
     title = {Asymptotically Efficient Estimation of Location for a Symmetric Stable Law},
     journal = {Ann. Statist.},
     volume = {4},
     number = {1},
     year = {1976},
     pages = { 1088-1100},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343644}
}
Fenech, Alan Paul. Asymptotically Efficient Estimation of Location for a Symmetric Stable Law. Ann. Statist., Tome 4 (1976) no. 1, pp.  1088-1100. http://gdmltest.u-ga.fr/item/1176343644/