Title of article
A simple estimator for the characteristic exponent of the stable Paretian distribution
Author/Authors
Mittnik، نويسنده , , S. and Paolella، نويسنده , , M.S.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1999
Pages
16
From page
161
To page
176
Abstract
A new estimator for the index α of symmetric stable Paretian distributions is proposed. In addition to being numerically simple, fast, and reliable, simulations suggest that even in small samples, the estimator is unbiased for α ∈ [1, 2], and almost exactly normally distributed. Standard errors are also given, the magnitudes of which are shown to depend only on sample size and not on the true value of α.
Keywords
stable distributions , Hill estimator , Financial modeling , Tail estimation
Journal title
Mathematical and Computer Modelling
Serial Year
1999
Journal title
Mathematical and Computer Modelling
Record number
1591421
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