Parameter estimation for one-sided heavy-tailed distributions

DOI10.1016/J.SPL.2020.108808zbMATH Open1450.62045arXiv2005.03662OpenAlexW3022126788MaRDI QIDQ2006758FDOQ2006758

Authors: Phillip Kerger, Kei Kobayashi 

Publication date: 12 October 2020

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

Abstract: Stable subordinators, and more general subordinators possessing power law probability tails, have been widely used in the context of subdiffusions, where particles get trapped or immobile in a number of time periods, called constant periods. The lengths of the constant periods follow a one-sided distribution which involves a parameter between 0 and 1 and whose first moment does not exist. This paper constructs an estimator for the parameter, applying the method of moments to the number of observed constant periods in a fixed time interval. The resulting estimator is asymptotically unbiased and consistent, and it is well-suited for situations where multiple observations of the same subdiffusion process are available. We present supporting numerical examples and an application to market price data for a low-volume stock.

Full work available at URL: https://arxiv.org/abs/2005.03662

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zbMATH Keywords

heavy tailsmethod of momentssubdiffusioninverse stable subordinatorone-sided stable distribution

Mathematics Subject Classification ID

Point estimation (62F10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stable stochastic processes (60G52)

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Cited In (2)

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