✦ LIBER ✦

Inference for heavy tailed distributions

✍ Scribed by K.B. Athreya; S.N. Lahiri; Wei Wu

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 585 KB
Volume: 66
Category: Article
ISSN: 0378-3758
DOI: 10.1016/s0378-3758(97)00077-3

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✦ Synopsis

Let X ~, X 2 .... be a sequence of independent and identically distributed random variables in the domain of attraction of a stable law of order ~ and asymmetry parameter ft. This paper develops some large sample inference procedures for the population mean l/ and parameters ~ and ft. Three different approaches to the construction of confidence intervals for p are proposed, two of them involving bootstrap. For the parameters :~ and fi estimators are proposed that are straightforward, computationally simple and statistically intuitive. The consistency and asymptotically normality of these estimators are also established. It is shown that in addition to these estimators being simple their accuracy is comparable to that of more complicated estimators available in the current literature. I' 1998 Elsevier Science B.V.

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