Before revision: We study different approaches to the estimation of the Gini index in presence of a fat-tailed data generator process, i.e. one in the stable distribution class with finite mean but infinite variance (i.e. with tail index \alpha\in(1,2)).
After revision: We study different approaches to the estimation of the Gini index in presence of a fat-tailed data generating process, i.e. one in the stable distribution class with finite mean but infinite variance (i.e. with tail index \alpha\in(1,2)).