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Adrian W. Barker

Publications and source records attributed to Adrian W. Barker.

2 recordsLinked to original sources
arXiv2014

Estimation of stable distribution parameters from a dependent sample

Existing methods for the estimation of stable distribution parameters, such as those based on sample quantiles, sample characteristic functions or maximum likelihood generally assume an independent sample. Little attention has been paid to estimation from a dependent sample. In this paper, a method for the estimation of stable distribution parameters from a dependent sample is proposed based on the sample quantiles. The estimates are shown to be asymptotically normal. The asymptotic variance is calculated for stable moving average processes. Simulations from stable moving average processes are used to demonstrate these estimators.

math.ST↗
arXiv2014

On the log quantile difference of the temporal aggregation of a stable moving average process

A formula is derived for the log quantile difference of the temporal aggregation of some types of stable moving average processes, MA(q). The shape of the log quantile difference as a function of the aggregation level is examined and shown to be dependent on the parameters of the moving average process but not the quantile levels. The classes of invertible, stable MA(1) and MA(2) processes are examined in more detail.

math.ST↗