TY - GEN
T1 - A new method for estimating parameters of a skewed alpha-stable distribution
AU - Maymon, Shay
AU - Friedmann, Jonathan
AU - Messer, Hagit
N1 - Publisher Copyright:
© 2000 IEEE.
PY - 2000
Y1 - 2000
N2 - Estimating the parameters of a skewed α-stable distribution calls for estimation of four unknown parameters of the probability density function (PDF): the location parameter, the scale parameter, the characteristic exponent and the skewness parameter. We present cumulative distribution function (CDF) based estimators for either the location parameter, the skewness parameter, or the characteristic exponent. The estimators are simple, consistent and their asymptotic performance is analyzed. Of a particular interest is the new estimator for the skewness parameter which is given in a closed form, as a function of the other parameters. As such, it can be used for reducing the search dimension when joint parameter estimation of a skewed stable distribution is called for.
AB - Estimating the parameters of a skewed α-stable distribution calls for estimation of four unknown parameters of the probability density function (PDF): the location parameter, the scale parameter, the characteristic exponent and the skewness parameter. We present cumulative distribution function (CDF) based estimators for either the location parameter, the skewness parameter, or the characteristic exponent. The estimators are simple, consistent and their asymptotic performance is analyzed. Of a particular interest is the new estimator for the skewness parameter which is given in a closed form, as a function of the other parameters. As such, it can be used for reducing the search dimension when joint parameter estimation of a skewed stable distribution is called for.
UR - http://www.scopus.com/inward/record.url?scp=0033710077&partnerID=8YFLogxK
U2 - 10.1109/ICASSP.2000.860236
DO - 10.1109/ICASSP.2000.860236
M3 - פרסום בספר כנס
AN - SCOPUS:0033710077
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 3822
EP - 3825
BT - Design and Implementation of Signal Processing SystemNeural Networks for Signal Processing Signal Processing EducationOther Emerging Applications of Signal ProcessingSpecial Sessions
PB - Institute of Electrical and Electronics Engineers Inc.
Y2 - 5 June 2000 through 9 June 2000
ER -