Fat tail distributions and local thin tail alternatives

DOI10.1080/03610929608831726MaRDI QIDQ4337151zbMATH OpenOpenAlexFDO

Authors Geert Gielens, Stefan Straetmans, Casper G. de Vries

Publication date 19 May 1997

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

Full work available at URL http://repub.eur.nl/pub/12407

zbMATH Keywords

biasstable distributionHill estimatortail index

Mathematics Subject Classification ID

Point estimation (62F10)

Recommendations

• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
• A tail estimator for the index of the stable paretian distribution^∗
• scientific article; zbMATH DE number 1301882
• scientific article; zbMATH DE number 3988474

Cites work

• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS

Cited in

(2)

• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
• Estimating the index of a stable distribution

This page was built for publication: Fat tail distributions and local thin tail alternatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4337151)