Estimating the index of a stable distribution
type: Item
instance of: scholarly article
title: Estimating the index of a stable distribution
zbMATH Open document ID: 0946.62038
DOI: 10.1016/S0167-7152(98)00120-5
author: T. Themido Pereira
author: Laurens De Haan
published in: Statistics \& Probability Letters
publication date: 2000-10-18T00:00:00Z
review text: This paper provides another contribution to estimating the index of a stable distribution. Using a proper representation of the index in terms of the underlying distribution function, the estimator is obtained by plugging in the corresponding empirical distribution function based quantities. Almost sure consistency and distributional convergence is achieved. Proofs utilize well-known approximations of empirical processes through Brownian bridges.
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 62G30
zbMATH DE Number: 1348351
zbMATH Keywords: stable distributions
zbMATH Keywords: order statistics
zbMATH Keywords: empirical distributions
reviewed by: Winfried Stute
MaRDI profile type: Publication
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full work available at URL: s0167-7152(98)00120-5
OpenAlex ID: W2055112215
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description: scientific article; zbMATH DE number 1348351