A SAS Approach for Estimating the Parameters of an Alpha-stable Distribution

Although there are several software products dealing with the issue of simulating and estimating a stable distribution, SAS has no procedure for stable distributions. In this paper we propose two macros for estimating the parameters of a stable distribution using McCulloch method and Kogon-Williams method; further developments are required for implementing a procedure for estimating the parameters of a stable distribution using maximum likelihood method.