Geometric stable laws: Estimation and applications

Geometric stable laws constitute a class of limiting distributions of appro priately normalized random sums of i.i.d. random variables. We consider the problem of estimation of the parameters of univariate and multivariate geo metric stable laws. Our estimation technique is based on the method of mome nts and yields consistent and asymptotically normal estimators. We apply ou r estimators to a currency exchange data and show that the geometric stable dominates Paretian stable and normal models. (C) 1999 Elsevier Science Ltd . All rights reserved.