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 
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/
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     title = {Modeling and identification of a~sequence of dependent random variables with a~symmetric stable distribution},
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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.

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