Inference for heavy tailed distributions
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This work develops the statistical inference for stable laws of order \(\alpha\) and an asymmetry parameter \(\beta\), based on an independent sample of size \(n\geq 1\). Three different approaches to the construction of confidence intervals for the mean \(\mu\) are proposed, two of them involving bootstrap. For the parameters \(\alpha\) and \(\beta\) estimators are proposed which are computationally simple and statistically intuitive. The consistency and asymptotic normality of these estimators are also established.
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Cites work
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Cited in
(18)- A simple general approach to inference about the tail of a distribution
- Estimation of the index parameter for autoregressive data using the estimated innovations
- Estimation problems for distributions with heavy tails
- Lower bounds to the accuracy of inference on heavy tails
- Exact confidence sets and goodness-of-fit methods for stable distributions
- Efficiency of linear estimators under heavy-tailedness: convolutions of alpha-symmetric distri\-butions
- Statistical inference in the presence of heavy tails
- On the accuracy of inference on heavy-tailed distributions
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- Bootstrapping the mean vector for the observations in the domain of attraction of a multivariate stable law
- Average sample number function for Pareto heavy tailed distributions
- On tails of symmetric and totally asymmetric \(\alpha\)-stable distributions
- A new estimator of skewness parameter in stable distribution
- Inference for Heavy-Tailed Data Analysis
- Link of moments before and after transformations, with an application to resampling from fat-tailed distributions
- Bootstrap inference for a class of non-regular estimators
- Inference of high quantiles of a heavy-tailed distribution from block data
- Inference for extremal regression with dependent heavy-tailed data
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