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Statistical Papers

, Volume 53, Issue 3, pp 617–628 | Cite as

An estimation procedure for the Linnik distribution

  • Dexter O. Cahoy
Regular Article

Abstract

We propose estimators for the parameters of the Linnik L(α, γ) distribution. The estimators are derived from the moments of the log-transformed Linnik distributed random variable, and are shown to be asymptotically unbiased. The estimation algorithm is computationally simple and less restrictive. Our procedure is also tested using simulated data.

Keywords

Linnik Geometric stable Estimation Financial modeling Economics 

Mathematics Subject Classification (2000)

62-Fxx 62-XX 97M40 

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Copyright information

© Springer-Verlag 2011

Authors and Affiliations

  1. 1.Program of Mathematics and Statistics, College of Engineering and ScienceLouisiana Tech UniversityRustonUSA

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