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Estimating the index of a stable law via the pot-method

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  • Marohn, Frank

Abstract

Consider an i.i.d. sample X1,...,Xn of random variables which are equal in distribution to Y, where Y follows a symmetric stable law with index [beta], 0

Suggested Citation

  • Marohn, Frank, 1999. "Estimating the index of a stable law via the pot-method," Statistics & Probability Letters, Elsevier, vol. 41(4), pages 413-423, February.
    • Handle: RePEc:eee:stapro:v:41:y:1999:i:4:p:413-423
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    References listed on IDEAS

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    1. Samuelson, Paul A., 1976. "Limited Liability, Short Selling, Bounded Utility, and Infinite-Variance Stable Distributions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(3), pages 485-503, September.
    2. Frank Marohn, 1997. "Local Asymptotic Normality in Extreme Value Index Estimation," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(4), pages 645-666, December.
    3. E. Kaufmann & R. Reiss, 1993. "Strong convergence of multivariate point processes of exceedances," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(3), pages 433-444, September.
    4. Falk M. & Marohn F., 1997. "Efficient Estimation Of The Shape Parameter In Pareto Models With Partially Known Scale," Statistics & Risk Modeling, De Gruyter, vol. 15(3), pages 229-240, March.
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