Estimating the index of a stable law via the pot-method

Frank Marohn

Statistics & Probability Letters, 1999, vol. 41, issue 4, 413-423

Abstract: Consider an i.i.d. sample X1,...,Xn of random variables which are equal in distribution to Y, where Y follows a symmetric stable law with index [beta], 0

Keywords: Stable; distribution; Point; process; of; exceedances; Peaks; over; threshold; Generalized; Pareto; distribution; Hill; estimator; LAN; Central; sequence; Asymptotic; efficiency; Finite; sample; size; properties (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

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