Estimating the index of a stable distribution

DOI10.1016/S0167-7152(98)00120-5MaRDI QIDQ1304084zbMATH OpenOpenAlexFDO

Authors T. Themido Pereira, Laurens De Haan

Publication date 18 October 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00120-5

zbMATH Keywords

empirical distributionsorder statisticsstable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)

Review text

This paper provides another contribution to estimating the index of a stable distribution. Using a proper representation of the index in terms of the underlying distribution function, the estimator is obtained by plugging in the corresponding empirical distribution function based quantities. Almost sure consistency and distributional convergence is achieved. Proofs utilize well-known approximations of empirical processes through Brownian bridges.

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Cited in

(14)

• Estimating the index of a stable law via the pot-method
• Kernel-type estimators for the extreme value index
• Weak consistency of extreme value estimators in \(C[0,1]\)
• Estimation problems for distributions with heavy tails
• Tail estimation of the stable index \(\alpha\)
• An adaptive optimal estimate of the tail index for MA(1) time series
• Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
• Coverage accuracy for a mean without third moment
• On the probability distribution of stock indices
• scientific article; zbMATH DE number 3945067 (Why is no real title available?)
• Explicit and combined estimators for parameters of stable distributions
• Parameter Estimation of Stable Distributions
• Estimating L-functionals for heavy-tailed distributions and application
• A review of more than one hundred Pareto-tail index estimators

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