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A Simulation Study of Estimator for the Stable Index

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Abstract

Stable distributions are applied in several areas such as communications theory, physics, biology, astronomy, finance, economics and sociology. By using the structure of V-statistics, we develop a new estimation of stable index of the stable distribution. Furthermore, we also compare the proposed estimator with a simple and unbiased estimator proposed by Fan (Commun Stat-Theor Methods 35(2): 245–255, 2006). Our estimator is constructed by using the linear relation between U-statistics and V-statistics. In simulation study, we show that proposed estimator is more efficient than the existing estimator developed by Fan (Commun Stat-Theor Methods 35(2):245–255, 2006) in terms of the standard deviation, interquartile range, and mean square error of estimators.

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Acknowledgements

The author sincerely thanks anonymous referees for helpful comments and suggestions, leading to many improvements in the paper.

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Authors and Affiliations

  1. Thammasat University, 99 Moo 18 Paholyothin Road, Klong Luang, Rangsit, Pathumthani, 12120, Thailand

    Wararit Panichkitkosolkul

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  1. Wararit Panichkitkosolkul
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Correspondence to Wararit Panichkitkosolkul .

Editor information

Editors and Affiliations

  1. Waseda University, Hibikino, Wakamatsu-ku, Kitakyushu-City 2-7, Fukuoka, 808-0135, Japan

    Junzo Watada

  2. Research Institute of Quantitative Econo, Zhejiang Gongshang University, Jiaogong Road, Hangzhou 149, Zhejiang Province, 310012, China, People's Republic

    Bing Xu

  3. , Dept. of Mathematical Sciences, National Chengchi University, ZhiNan Rd. 64Sec.2, Taipei City, 11605, Taiwan R.O.C.

    Berlin Wu

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Panichkitkosolkul, W. (2014). A Simulation Study of Estimator for the Stable Index. In: Watada, J., Xu, B., Wu, B. (eds) Innovative Management in Information and Production. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-4857-0_2

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  • DOI: https://doi.org/10.1007/978-1-4614-4857-0_2

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  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-1-4614-4856-3

  • Online ISBN: 978-1-4614-4857-0

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