Journal of Statistical Theory and Applications

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Volume 17, Issue 3, September 2018, Pages 439 - 461

Parameter Estimation Using the EM Algorithm for Symmetric Stable Random Variables and Sub-Gaussian Random Vectors

Authors
Mahdi Teimouriteimouri@aut.ac.ir
Department of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), 424 Hafez Ave., Tehran 15914, Iran Department of Statistics, Faculty of Science, Gonbad Kavous University, Gonbad Kavous, Iran
Saeid Rezakhah*, rezakhah@aut.ac.ir
Department of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), 424 Hafez Ave., Tehran 15914, Iran
Adel Mohammadpouradel@aut.ac.ir
Department of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), 424 Hafez Ave., Tehran 15914, Iran
*Corresponding author.
Corresponding Author
Saeid Rezakhahrezakhah@aut.ac.ir
Received 18 November 2016, Accepted 2 August 2017, Available Online 30 September 2018.
DOI
10.2991/jsta.2018.17.3.4How to use a DOI?
Keywords
EM algorithm; Markov Chain Monte Carlo; Symmetric α-stable distribution (SαS); Sub-Gaussian α-stable distribution
Abstract

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.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article under the CC BY-NC license (http://creativecommons.org/licences/by-nc/4.0/).

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<Previous Article In Issue
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Journal
Journal of Statistical Theory and Applications
Volume-Issue
17 - 3
Pages
439 - 461
Publication Date
2018/09/30
ISSN (Online)
2214-1766
ISSN (Print)
1538-7887
DOI
10.2991/jsta.2018.17.3.4How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article under the CC BY-NC license (http://creativecommons.org/licences/by-nc/4.0/).

Cite this article

risenwbib
TY  - JOUR
AU  - Mahdi Teimouri
AU  - Saeid Rezakhah
AU  - Adel Mohammadpour
PY  - 2018
DA  - 2018/09/30
TI  - Parameter Estimation Using the EM Algorithm for Symmetric Stable Random Variables and Sub-Gaussian Random Vectors
JO  - Journal of Statistical Theory and Applications
SP  - 439
EP  - 461
VL  - 17
IS  - 3
SN  - 2214-1766
UR  - https://doi.org/10.2991/jsta.2018.17.3.4
DO  - 10.2991/jsta.2018.17.3.4
ID  - Teimouri2018
ER  -