Marohn, Frank - In: Statistics & Probability Letters 41 (1999) 4, pp. 413-423
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 [beta] 2. Based on the point process of exceedances, we define an explicit two-step-estimator of [beta] that is asymptotically efficient....