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Estimation of Stable Distribution Parameters
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2004-05-25
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The package gives a quantile method and a maximum likelihood method of fitting stable parameters to a sample. The maximum likelihood method is quite accurate and most useful when alpha is > 1. It is based on a discrete FFT of the characteristic function to quickly obtain the PDF. It can be used in conjunction with StableFunctions.m package to evaluate stable distributions. The notebook examines stock market price data in the file wmt.csv.
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Stable Distribution, Maximum Likelihood Parameter Fit, Quantile Fit
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| FFTFit.m (80.6 KB) - Mathematica Package [for Mathematica 5.0] | | StableStockFit.nb (230.2 KB) - Mathematica Notebook [for Mathematica 5.0] | | wmt.csv (5.5 KB) - Stock prices of Walmart |
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