A SAS Approach for Estimating the Parameters of an Alpha-stable Distribution

Although there are several software products dealing with the issue of simulating and estimating a stable distribution, SAS has no procedure for stable distributions. In this paper we propose two macros for estimating the parameters of a stable distribution using McCulloch method and Kogon-Williams...

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Bibliographic Details
Published in:Procedia economics and finance 2014, Vol.10, p.68-77
Main Author: Pele, Daniel Traian
Format: Article
Language:English
Subjects:
heavy-tails
SAS macro
stable distributions
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Summary:Although there are several software products dealing with the issue of simulating and estimating a stable distribution, SAS has no procedure for stable distributions. In this paper we propose two macros for estimating the parameters of a stable distribution using McCulloch method and Kogon-Williams method; further developments are required for implementing a procedure for estimating the parameters of a stable distribution using maximum likelihood method.
ISSN:2212-5671
2212-5671
DOI:10.1016/S2212-5671(14)00279-2