Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151050 | Statistical Methodology | 2009 | 10 Pages |
Abstract
Inference methods for the positive stable laws, which have no closed form expression for the density functions are developed based on a special quadratic distance using negative moments. Asymptotic properties of the quadratic distance estimator (QDE) are established. The QDE is shown to have asymptotic relative efficiency close to 1 for almost all the values of the parameter space.Goodness-of-fit tests are also developed for testing the parametric families and practical numerical techniques are considered for implementing the methods. With simple and efficient methods to estimate the parameters, positive stable laws could find new applications in actuarial science for modelling insurance claims and lifetime data.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Andrew Luong, Louis G. Doray,