Estimating the Logarithm of Characteristic Function and Stability Parameter for Symmetric Stable Laws
Sign Up to like & getrecommendations! Published in 2021 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-021-09908-z
Abstract: Let $X_1,\ldots,X_n$ be an i.i.d. sample from symmetric stable distribution with stability parameter $\alpha$ and scale parameter $\gamma$. Let $\varphi_n$ be the empirical characteristic function. We prove an uniform large deviation inequality: given preciseness $\epsilon>0$… read more here.
Keywords: parameter; symmetric stable; characteristic function; stability parameter ... See more keywords