Monte Carlo-based tail exponent estimator
Year of publication: |
2010
|
---|---|
Authors: | Barunik, Jozef ; Vacha, Lukas |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 389.2010, 21, p. 4863-4874
|
Publisher: |
Elsevier |
Subject: | Hill estimator | α-stable distributions | Tail exponent estimation |
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