Estimating a Stability Parameter: Asymptotics and Simulations
Let \(Y_1,\dots,Y_t\) be a random sample of size \(t\) from a symmetric stable law with the characteristic function \(\varphi(u)= \exp\{-| u|^\alpha\}\), \(u\in R^1\). The author studies the problem of estimating an unknown stability parameter \(\alpha\in (0,2)\) based on the \(n\) in absolute value largest observations out of the \(t\) observations. He considers Hill's estimator [\textit{B. M. Hill}, Ann. of Statist. 3, 1163-1174 (1975; Zbl 0323.62033)] and determines two asymptotically efficient estimator sequences for \(\alpha\). Finite sample size performance of the estimators is investigated by simulation.
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