文章基本信息

标题：Parameter Estimation Using the EM Algorithm for Symmetric Stable Random Variables and Sub-Gaussian Random Vectors
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作者：Mahdi Teimouri ; Saeid Rezakhah ; Adel Mohammadpour 等
期刊名称：Journal of Statistical Theory and Applications (JSTA)
电子版ISSN：1538-7887
出版年度：2018
卷号：17
期号：3
页码：441-463
DOI：10.2991/jsta.2018.17.3.4
语种：English
出版社：Atlantis Press
摘要：Applying some well-known properties of the class of symmetric α-stable (SαS) distribution, the EM algorithm is extended to estimate the parameters of SαS distributions. Furthermore, we extend this algorithm to the multivariate sub-Gaussian α-stable distributions. Some comparative studies are performed through simulation and for some real data sets to show the performance of the proposed EM algorithm compared with some well-known methods including empirical characteristic function, maximum likelihood, and sample quantile in the univariate and multivariate cases.
关键词：EM algorithm;Markov Chain Monte Carlo;Symmetric α-stable distribution (SαS);Sub-Gaussian α-stable distribution