Title of article :
Tail estimation of the stable index α
Original Research Article
Author/Authors :
S. Mittnik، نويسنده , , S.T. Rachev، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1996
Abstract :
A refined tail-estimation procedure for measuring the index of stability of stable Paretian or α-stable distributions is proposed. The estimator is more suitable for α-stable laws than the widely used estimator proposed in [1].
Keywords :
Stable distributions , Tail estimation , Hill estimator , Existence of moments , Pickands estimator
Journal title :
Applied Mathematics Letters
Journal title :
Applied Mathematics Letters
