Maximum-likelihood symmetric α-stable parameter estimation

  • Authors:
  • J.S. Bodenschatz;C.L. Nikias

  • Affiliations:
  • Pivotal Technol., Pasadena, CA;-

  • Venue:
  • IEEE Transactions on Signal Processing
  • Year:
  • 1999

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Abstract

Using the close relation between Fisher scoring and Newton maximization, and an efficient density function evaluation, we develop a fast maximum-likelihood parameter estimation method. Simulations show the algorithm to be superior in accuracy to McCulloch's (1986) method and to achieve the Cramer-Rao bound