Geodesic
Modeling and identification of a~sequence of dependent random variables with a~symmetric stable distribution
Sibirskij žurnal industrialʹnoj matematiki, Tome 13 (2010) no. 4, pp. 25-37

Voir la notice de l'article provenant de la source Math-Net.Ru

We model a stationary random sequence whose elements have a symmetric absolutely continuous stable distribution. The joint distribution of the elements of the sequence is determined by three parameters: the Hurst parameter, a stable law parameter, and a scale parameter. We justify and implement strongly consistent methods for estimating these parameters. We compare various methods for parameter estimation. 
@article{SJIM_2010_13_4_a2,
     author = {A. P. Kovalevskiǐ and V. S. Kostin and V. E. Khitsenko},
     title = {Modeling and identification of a~sequence of dependent random variables with a~symmetric stable distribution},
     journal = {Sibirskij \v{z}urnal industrialʹnoj matematiki},
     pages = {25--37},
     publisher = {mathdoc},
     volume = {13},
     number = {4},
     year = {2010},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJIM_2010_13_4_a2/}
}
TY  - JOUR
AU  - A. P. Kovalevskiǐ
AU  - V. S. Kostin
AU  - V. E. Khitsenko
TI  - Modeling and identification of a~sequence of dependent random variables with a~symmetric stable distribution
JO  - Sibirskij žurnal industrialʹnoj matematiki
PY  - 2010
SP  - 25
EP  - 37
VL  - 13
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/SJIM_2010_13_4_a2/
LA  - ru
ID  - SJIM_2010_13_4_a2
ER  - 
%0 Journal Article
%A A. P. Kovalevskiǐ
%A V. S. Kostin
%A V. E. Khitsenko
%T Modeling and identification of a~sequence of dependent random variables with a~symmetric stable distribution
%J Sibirskij žurnal industrialʹnoj matematiki
%D 2010
%P 25-37
%V 13
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/SJIM_2010_13_4_a2/
%G ru
%F SJIM_2010_13_4_a2
A. P. Kovalevskiǐ; V. S. Kostin; V. E. Khitsenko. Modeling and identification of a~sequence of dependent random variables with a~symmetric stable distribution. Sibirskij žurnal industrialʹnoj matematiki, Tome 13 (2010) no. 4, pp. 25-37. http://geodesic.mathdoc.fr/item/SJIM_2010_13_4_a2/