Title of article
Tail estimation of the stable index α Original Research Article
Author/Authors
S. Mittnik، نويسنده , , S.T. Rachev، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
4
From page
53
To page
56
Abstract
A refined tail-estimation procedure for measuring the index of stability of stable Paretian or α-stable distributions is proposed. The estimator is more suitable for α-stable laws than the widely used estimator proposed in [1].
Keywords
Stable distributions , Tail estimation , Hill estimator , Existence of moments , Pickands estimator
Journal title
Applied Mathematics Letters
Serial Year
1996
Journal title
Applied Mathematics Letters
Record number
896383
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