Estimating the index of a stable distribution

An estimator is proposed for the index a of a stable distribution (0 # [alpha] [less-than-or-equals, slant] 2) and the asymmetry parameter p (0 [less-than-or-equals, slant] p [less-than-or-equals, slant] 1) based on a sample from a probability distribution in the domain of attraction of the stable distribution.

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Year of publication:	1999
Authors:	de Haan, L. ; Pereira, T. Themido
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 41.1999, 1, p. 39-55
Publisher:	Elsevier
Subject:	Stable distributions Order statistics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211785