Estimating the index of a stable distribution
From MaRDI portal
Publication:1304084
DOI10.1016/S0167-7152(98)00120-5zbMath0946.62038OpenAlexW2055112215MaRDI QIDQ1304084
T. Themido Pereira, Laurens De Haan
Publication date: 18 October 2000
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00120-5
Infinitely divisible distributions; stable distributions (60E07) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)
Related Items (9)
Estimation problems for distributions with heavy tails ⋮ Coverage accuracy for a mean without third moment ⋮ Estimating L-functionals for heavy-tailed distributions and application ⋮ Kernel-type estimators for the extreme value index ⋮ Weak consistency of extreme value estimators in \(C[0,1\)] ⋮ An adaptive optimal estimate of the tail index for MA(1) time series ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Parameter Estimation of Stable Distributions ⋮ Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- What portion of the sample makes a partial sum asymptotically stable or normal?
- Weighted empirical and quantile processes
- Normal and stable convergence of integral functions of the empirical distribution function
- Laws of large numbers for sums of extreme values
- A simple general approach to inference about the tail of a distribution
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Second-order regular variation and rates of convergence in extreme-value theory
- Estimating the limit distribution of multivariate extremes
- Fat tail distributions and local thin tail alternatives
This page was built for publication: Estimating the index of a stable distribution
