| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 981755 | Procedia Economics and Finance | 2014 | 10 Pages |
Abstract
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.
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