Estimating the index of a stable distribution
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.
scientific article; zbMATH DE number 1348351
scientific article