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 |
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Pages (from-to) | 53-56 |
Number of pages | 4 |
Journal | Applied Mathematics Letters |
Volume | 9 |
Issue number | 3 |
DOIs | |
State | Published - May 1996 |
Keywords
- Existence of moments
- Hill estimator
- Pickands estimator
- Stable distributions
- Tail estimation