Tail estimation of the stable index α

S. Mittnik, S. T. Rachev

Research output: Contribution to journalArticlepeer-review

16 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 languageEnglish
Pages (from-to)53-56
Number of pages4
JournalApplied Mathematics Letters
Volume9
Issue number3
DOIs
StatePublished - May 1996

Keywords

  • Existence of moments
  • Hill estimator
  • Pickands estimator
  • Stable distributions
  • Tail estimation

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