Estimating the index of a stable distribution

Laurens de Haan and T. Themido Pereira

Statistics & Probability Letters, 1999, vol. 41, issue 1, 39-55

Abstract: 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.

Keywords: Stable; distributions; Order; statistics (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (23)

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