StableEstim
Estimate the Four Parameters of Stable Laws using Different Methods
v2.4
·
Dec 9, 2025
·
GPL (>= 2)
Description
Estimate the four parameters of stable laws using maximum likelihood method, generalised method of moments with finite and continuum number of points, iterative Koutrouvelis regression and Kogon-McCulloch method. The asymptotic properties of the estimators (covariance matrix, confidence intervals) are also provided.
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