A Novel Parameter Estimation Method of Alpha-stable Distribution Based on Extreme Value

Li  Li; Li Yu; Guangxi Zhu; Xuebing Pei

2nd International ICST Conference on Communications and Networking in China

Research Article

A Novel Parameter Estimation Method of Alpha-stable Distribution Based on Extreme Value

Cite: BibTeX Plain Text

@INPROCEEDINGS{10.1109/CHINACOM.2007.4469467,
    author={Li  Li and Li Yu and Guangxi Zhu and Xuebing Pei},
    title={A Novel Parameter Estimation Method of Alpha-stable Distribution Based on Extreme Value},
    proceedings={2nd International ICST Conference on Communications and Networking in China},
    publisher={IEEE},
    proceedings_a={CHINACOM},
    year={2008},
    month={3},
    keywords={Alpha-stable distribution  asymmetric tails  asymptotic Pareto characteristic  parameter estimation},
    doi={10.1109/CHINACOM.2007.4469467}
}

Li Li
Li Yu
Guangxi Zhu
Xuebing Pei
Year: 2008
A Novel Parameter Estimation Method of Alpha-stable Distribution Based on Extreme Value
CHINACOM
IEEE
DOI: 10.1109/CHINACOM.2007.4469467

Li Li¹^,*, Li Yu¹, Guangxi Zhu¹, Xuebing Pei¹

1: Department of Electronic & Information Engineering Huazhong University of Science & Technology Wuhan, Hubei Province, 430074, China

*Contact email: liliwuhanhust@163.com

Abstract

Since Alpha-stable distribution was introduced as a generalization of Gaussian distribution, it has been applied to model and to analyze signals with high variability. After analyzing characteristic of PDF of Alpha-stable distribution, we propose a novel parameter estimation method of Alpha-stable distribution, based on asymptotic Pareto characteristic and asymmetry of its tails. Simulation and analysis results prove that this method could achieve much more accuracy and stability compared with other estimation methods.

Keywords: Alpha-stable distribution asymmetric tails asymptotic Pareto characteristic parameter estimation

Published: 2008-03-07
Publisher: IEEE
Modified: 2011-07-13

: http://dx.doi.org/10.1109/CHINACOM.2007.4469467