𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Tail estimation of the stable index α

✍ Scribed by S. Mittnik; S.T. Rachev

Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
291 KB
Volume
9
Category
Article
ISSN
0893-9659

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Estimating the index of a stable distrib
Estimating the index of a stable distribution
✍ L. de Haan; T.Themido Pereira 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 600 KB

An estimator is proposed for the index a of a stable distribution (0 < a ~< 2) and the asymmetry parameter p (0 ~< p ~< 1 ) based on a sample from a probability distribution in the domain of attraction of the stable distribution.

Bias reduction and explicit semi-paramet
Bias reduction and explicit semi-parametric estimation of the tail index
✍ M.Ivette Gomes; M.João Martins 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 737 KB

In this paper, and in a context of regularly varying tails, we analyse particular but interesting cases of the maximum likelihood and least squares estimators proposed by Feuerverger and Hall (Ann. Statist. 27 (1999) 760). All these estimators are alternatives to a well-known estimator of the tail i

Best Attainable Rates of Convergence for
Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function
✍ Holger Drees; Xin Huang 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 478 KB

It is well known that a bivariate distribution belongs to the domain of attraction of an extreme value distribution G if and only if the marginals belong to the domain of attraction of the univariate marginal extreme value distributions and the dependence function converges to the stable tail depend