A tail estimator for the index of the stable paretian distribution∗

DOI10.1080/03610929808832156MaRDI QIDQ3842928zbMATH OpenOpenAlexFDO

Authors Marc S. Paolella, Stefan Mittnik, Svetlozar T. Rachev

Publication date 9 November 1998

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832156

zbMATH Keywords

Hill estimatorPareto distributionsPickands estimatorstable distributionstail estimator

Mathematics Subject Classification ID

Point estimation (62F10)

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Cites work

• A Method for Simulating Stable Random Variables
• A moment estimator for the index of an extreme-value distribution
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• Comparison of estimation methods in extreme value theory
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• Laws of large numbers for sums of extreme values
• MULTIVARIATE STABLE FUTURES PRICES
• On some expansions of stable distribution functions
• Optimal choice of sample fraction in extreme-value estimation
• Refined pickands estimators wtth bias correction
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• Tail estimation of the stable index \(\alpha\)
• The distribution of a Lagrange multiplier test of normality
• The limiting distribution of extremal exchange rate returns
• The method of moments ratio estimator for the tail shape parameter
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Cited in

(28)

• A tail bootstrap procedure for estimating the tail Pareto-index
• Estimating the index of a stable distribution
• A new estimator for a tail index
• Comparison of estimators in stable models.
• A simple estimator for the characteristic exponent of the stable Paretian distribution
• Testing the stable Paretian assumption
• Stable modeling of value at risk
• Stationarity of stable power-GARCH processes.
• Tail estimation of the stable index \(\alpha\)
• Tail behavior, modes and other characteristics of stable distribution
• Weighted least squares estimators for the Parzen tail index
• Subsampling extremes: from block maxima to smooth tail estimation
• An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
• Estimation problems for distributions with heavy tails
• Estimating the tail index: another algorithmic method
• scientific article; zbMATH DE number 3945067 (Why is no real title available?)
• On the Optimality of Estimating the Tail Index and a Naive Estimator
• Fat tail distributions and local thin tail alternatives
• scientific article; zbMATH DE number 2123366 (Why is no real title available?)
• Pareto tail index estimation revisited
• A new estimator of skewness parameter in stable distribution
• Optimal choice of sample fraction in univariate financial tail index estimation
• Stable mixture GARCH models
• Linking Pareto-tail kernel goodness-of-fit statistics with tail index at optimal threshold and second order estimation
• scientific article; zbMATH DE number 2246170 (Why is no real title available?)
• Where does the tail begin? An approach based on scoring rules
• A review of more than one hundred Pareto-tail index estimators
• Estimating the stable index in order to measure tail thickness: a critique

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