A regression-type method of estimating the four parameters of a stable distribution is presented. The estimators found are consistent and approximately unbiased for moderately large sample sizes.

In attempting to estimate the parameters of a linear regression system obeying two separate regimes, it is necessary first to estimate the position of the point in time at which the switch from one ...

Regression Models In a regression model, the location parameter for the i th observation of a location-scale model is a linear function of parameters: where xi is a vector of explanatory variables for ...

Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations having an ARMA structure. The three estimation methods employed by the ...