Exact tests and confidence sets for the tail coefficient of alpha-stable distributions:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Dt. Bundesbank
2003
|
| Series: | Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre
2003,16 |
| Online Access: | Volltext Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 14 - 15. - Zsfassung in dt. Sprache |
| Physical Description: | 21 S. graph. Darst. |
| ISBN: | 3935821727 |
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| 245 | 1 | 0 | |a Exact tests and confidence sets for the tail coefficient of alpha-stable distributions |c Jean-Marie Dufour ; Jeong-Ryeol Kurz-Kim |
| 264 | 1 | |a Frankfurt am Main |b Dt. Bundesbank |c 2003 | |
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Record in the Search Index
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| adam_text | Contents
1. Introduction
2. Estimation and test for the stability parameter
2.1 Theory of the Monte Carlo method
2.2 Summary on a stable distributions
2.3 Test statistic and test procedure
2.4 Statistical property of the MC based estimator
2.5 Power function of the Monte Carlo method based test
3. An empirical application
4. Concluding remarks
References
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| any_adam_object | 1 |
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| id | DE-604.BV017638174 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:20:12Z |
| institution | BVB |
| isbn | 3935821727 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010608412 |
| oclc_num | 76551065 |
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| physical | 21 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre |
| spelling | Dufour, Jean-Marie Verfasser aut Exact tests and confidence sets for the tail coefficient of alpha-stable distributions Jean-Marie Dufour ; Jeong-Ryeol Kurz-Kim Frankfurt am Main Dt. Bundesbank 2003 21 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre 2003,16 Literaturverz. S. 14 - 15. - Zsfassung in dt. Sprache Kurz-Kim, Jeong-Ryeol Verfasser aut Deutsche Bundesbank Discussion paper Series 1: Studies of the Economic Research Centre ; 2003,16 (DE-604)BV017594637 2003,16 http://hdl.handle.net/10419/19604 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010608412&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Dufour, Jean-Marie Kurz-Kim, Jeong-Ryeol Exact tests and confidence sets for the tail coefficient of alpha-stable distributions |
| title | Exact tests and confidence sets for the tail coefficient of alpha-stable distributions |
| title_auth | Exact tests and confidence sets for the tail coefficient of alpha-stable distributions |
| title_exact_search | Exact tests and confidence sets for the tail coefficient of alpha-stable distributions |
| title_full | Exact tests and confidence sets for the tail coefficient of alpha-stable distributions Jean-Marie Dufour ; Jeong-Ryeol Kurz-Kim |
| title_fullStr | Exact tests and confidence sets for the tail coefficient of alpha-stable distributions Jean-Marie Dufour ; Jeong-Ryeol Kurz-Kim |
| title_full_unstemmed | Exact tests and confidence sets for the tail coefficient of alpha-stable distributions Jean-Marie Dufour ; Jeong-Ryeol Kurz-Kim |
| title_short | Exact tests and confidence sets for the tail coefficient of alpha-stable distributions |
| title_sort | exact tests and confidence sets for the tail coefficient of alpha stable distributions |
| url | http://hdl.handle.net/10419/19604 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010608412&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
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