Estimating the Scale Parameter of a Lévy-stable Distribution via the Extreme Value Approach

Djamel Meraghni () and Abdelhakim Necir ()
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Djamel Meraghni: University Mohamed Khider
Abdelhakim Necir: University Mohamed Khider

Methodology and Computing in Applied Probability, 2007, vol. 9, issue 4, 557-572

Abstract: Abstract The characteristic exponent α of a Lévy-stable law S α (σ, β, μ) was thoroughly studied as the extreme value index of a heavy tailed distribution. For 1

Keywords: Lévy-stable law; Extreme values; Heavy tails; Hill’s estimator; Scale parameter estimator; Primary 62G32; Secondary 62G05; 62G20 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s11009-007-9021-y

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