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Estimating the index of a stable distribution

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Author Info
de Haan, L.
Pereira, T. Themido

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Abstract

An estimator is proposed for the index a of a stable distribution (0 # [alpha] [less-than-or-equals, slant] 2) and the asymmetry parameter p (0 [less-than-or-equals, slant] p [less-than-or-equals, slant] 1) based on a sample from a probability distribution in the domain of attraction of the stable distribution.

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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 41 (1999)
Issue (Month): 1 (January)
Pages: 39-55
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Handle: RePEc:eee:stapro:v:41:y:1999:i:1:p:39-55

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Related research
Keywords: Stable distributions Order statistics;

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  1. J.L. Geluk & L. Peng, 1999. "An adaptive optimal estimate of the tail index for MA(1) time series," Econometric Institute Report 109, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  2. Laurens F.M. de Haan & Liang Peng & H. Iglesias Pereira, 1997. "Approximation by Penultimate Stable Laws," Tinbergen Institute Discussion Papers 97-100/4, Tinbergen Institute. [Downloadable!]
  3. Jaap Geluk & Liang Peng & Casper G. de Vries, 1999. "Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series," Tinbergen Institute Discussion Papers 99-088/2, Tinbergen Institute. [Downloadable!]
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