A simple estimator for the characteristic exponent of the stable Paretian distribution
A new estimator for the index cr of symmetric stable Paretian distributions is proposed. In addition to being numerically simple, fast, and reliable, simulations suggest that even in smell samples, the estimator is unbiased for alpha is an element of [1,2], and almost exactly normally distributed. Standard errors are also given, the magnitudes of which are shown to depend only on sample size and not on the true value of alpha. (C) 1999 Elsevier Science Ltd. All rights reserved.
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