Estimating a Stability Parameter: Asymptotics and Simulations

DOI10.1080/02331889808802616MaRDI QIDQ4379703zbMATH OpenOpenAlexFDO

Authors R. Höpfner

Publication date 4 October 1999

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889808802616

zbMATH Keywords

asymptotic efficiencyHill's estimatorstability parametersymmetric stable lawestimator sequences

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites work

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Cited in

(17)

• On simulation and properties of the stable law
• On stable laws for estimating functions and derived estimators
• scientific article; zbMATH DE number 3958432 (Why is no real title available?)
• Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
• On real parameter stability margins and their computation
• scientific article; zbMATH DE number 3945073 (Why is no real title available?)
• Stability of dynamic models obtained by ARMAX lattice predictor
• Asymptotically efficient estimation of location for a symmetric stable law
• Estimation of the characteristic exponent of stable laws
• Minimum-Distance Estimator for Stable Exponent
• scientific article; zbMATH DE number 6531697 (Why is no real title available?)
• Estimating the index of a stable law via the pot-method
• Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws
• Comparison of estimators in stable models.
• Estimating the center of symmetry: is it always better to use larger sample sizes?
• scientific article; zbMATH DE number 822313 (Why is no real title available?)
• On the estimation of asymptotic stability regions: State of the art and new proposals

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