Tail estimation of the stable index α

S. Mittnik; S. T. Rachev

doi:10.1016/0893-9659(96)00031-6

Tail estimation of the stable index α

S. Mittnik, S. T. Rachev

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

17 Scopus citations

Abstract

A refined tail-estimation procedure for measuring the index of stability of stable Paretian or α-stable distributions is proposed. The estimator is more suitable for α-stable laws than the widely used estimator proposed in [1].

Original language	English
Pages (from-to)	53-56
Number of pages	4
Journal	Applied Mathematics Letters
Volume	9
Issue number	3
DOIs	https://doi.org/10.1016/0893-9659(96)00031-6
State	Published - May 1996

Keywords

Existence of moments
Hill estimator
Pickands estimator
Stable distributions
Tail estimation

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10.1016/0893-9659(96)00031-6

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title = "Tail estimation of the stable index α",

abstract = "A refined tail-estimation procedure for measuring the index of stability of stable Paretian or α-stable distributions is proposed. The estimator is more suitable for α-stable laws than the widely used estimator proposed in [1].",

keywords = "Existence of moments, Hill estimator, Pickands estimator, Stable distributions, Tail estimation",

author = "S. Mittnik and Rachev, {S. T.}",

year = "1996",

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T1 - Tail estimation of the stable index α

AU - Mittnik, S.

AU - Rachev, S. T.

PY - 1996/5

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N2 - A refined tail-estimation procedure for measuring the index of stability of stable Paretian or α-stable distributions is proposed. The estimator is more suitable for α-stable laws than the widely used estimator proposed in [1].

AB - A refined tail-estimation procedure for measuring the index of stability of stable Paretian or α-stable distributions is proposed. The estimator is more suitable for α-stable laws than the widely used estimator proposed in [1].

KW - Existence of moments

KW - Hill estimator

KW - Pickands estimator

KW - Stable distributions

KW - Tail estimation

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DO - 10.1016/0893-9659(96)00031-6

M3 - Article

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SN - 0893-9659

VL - 9

SP - 53

EP - 56

JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

IS - 3

ER -

Tail estimation of the stable index α

Abstract

Keywords

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