This paper presents and easily used graphical procedure for simultaneous estimation of the index, skewness, scale, and location parameters of the stable laws. First, the index α and skewness β are estimated through the joint use of a tail length sta...
This paper presents and easily used graphical procedure for simultaneous estimation of the index, skewness, scale, and location parameters of the stable laws. First, the index α and skewness β are estimated through the joint use of a tail length statistic K~_t and a skewness statistic K~_s, both of which are functions of order statistics. Next, the function of order statistics needed for estimation of scale σ and location μare determined from a nomo-gram indexed on the estimates of α and β.Some applications and examples are provided.