Estimation of Stable-Law Parameters: A Comparative Study
比较了迭代回归法和分位数法在估计稳定分布参数时的表现，使用模拟数据和实际数据，对金融等领域的研究者有参考价值。
The stable distribution has many desirable properties and is applicable in many areas of scientific pursuit (e.g., the study of stock-return behavior). Despite this, little is known about the properties of the various extant estimation techniques for the parameters of the stable laws. This article compares the iterative regression technique with the latest version of the fractile technique, using both simulated and actual data.