The discrete stable family constitutes an interesting two-parameter model of distributions on the non-negative integers with a Paretian tail. The practical use of the discrete stable distribution is inhibited by the lack of an explicit expression for its probability function. Moreover, the distribution does not possess moments of any order. Therefore, the usual tools—such as the maximum-likelihood method or even the moment method—are not feasible for parameter estimation. However, the probability generating function of the discrete stable distribution is available in a simple form. Hence, we initially explore the application of some existing estimation procedures based on the empirical probability generating function. Subsequently, we propose a new estimation method by minimizing a suitable weighted L 2-distance between the empirical and the theoretical probability generating functions. In addition, we provide a goodness-of-fit statistic based on the same distance.

Marcheselli, M., Baccini, A., Barabesi, L. (2008). Parameter estimation for the discrete stable family. COMMUNICATIONS IN STATISTICS. THEORY AND METHODS, 37(6), 815-830 [10.1080/03610920701570298].

### Parameter estimation for the discrete stable family

#### Abstract

The discrete stable family constitutes an interesting two-parameter model of distributions on the non-negative integers with a Paretian tail. The practical use of the discrete stable distribution is inhibited by the lack of an explicit expression for its probability function. Moreover, the distribution does not possess moments of any order. Therefore, the usual tools—such as the maximum-likelihood method or even the moment method—are not feasible for parameter estimation. However, the probability generating function of the discrete stable distribution is available in a simple form. Hence, we initially explore the application of some existing estimation procedures based on the empirical probability generating function. Subsequently, we propose a new estimation method by minimizing a suitable weighted L 2-distance between the empirical and the theoretical probability generating functions. In addition, we provide a goodness-of-fit statistic based on the same distance.
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2008
Marcheselli, M., Baccini, A., Barabesi, L. (2008). Parameter estimation for the discrete stable family. COMMUNICATIONS IN STATISTICS. THEORY AND METHODS, 37(6), 815-830 [10.1080/03610920701570298].
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Utilizza questo identificativo per citare o creare un link a questo documento: `https://hdl.handle.net/11365/22204`