On the estimation of the power-law exponent in the mean-field Bouchaud–Mézard model

Feng-Rung Hu

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 18, 4605-4614

Abstract: In this article, our primary objective is to develop an estimator of the power-law exponent based on the observable individual wealth in the mean-field Bouchaud–Mézard model. As a result, a simple and strongly consistent estimator of the power-law exponent in the mean-field Bouchaud–Mézard model has been established and performs well on simulated data.

Keywords: Bouchaud–Mézard model; Power-law exponent; Ergodicity (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:18:p:4605-4614

DOI: 10.1016/j.physa.2008.03.018

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