Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique

DOI10.1214/aos/1176346318zbMath0547.62022OpenAlexW1594603170MaRDI QIDQ799047

Publication date: 1983

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346318

zbMATH Keywords

infinite variance tail behaviour non-normality generalized Pareto distribution error probabilities stable index long tailed distributions outlier prone models Stable laws

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35) Parametric inference (62F99) Nonparametric inference (62G99)

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