Exact tests and confidence sets for the tail coefficient of a-stable distributions /

Bibliographic Details
Main Author: Dufour, Jean-Marie
Other Authors: Kurz-Kim, Jeong-Ryeol, 1959-
Format: Book
Language:English
Published: Frankfurt am Main : Deutsche Bundesbank, 2003
Series:Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre no. 16/2003
Subjects:
Online Access:http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2003/2003_10_08_dkp_16.pdf?__blob=publicationFile

MARC

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245 1 0 |a Exact tests and confidence sets for the tail coefficient of a-stable distributions /  |c Jean-Marie Dufour, Jeong-Ryeol Kurz-Kim. 
260 |a Frankfurt am Main :  |b Deutsche Bundesbank,  |c 2003 
300 |a 21 p. 
490 1 |a Discussion paper. Series 1: Studies of the Economic Research Centre ;  |v no. 16/2003 
504 |a Bibliografía: p. 14-15. 
505 0 |a 1. Introduction -- 2. Estimation and test for the stability perameter: theory of the Monte Caqrlo method. Summary on a-stable distributions. Test statistic and test procedure. Statistical propoerty of the MC based estimator. Power function of the Monte Carlo method based test -- 3. An empirical application -- 4. Concluding remarks -- references. 
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650 4 |a ANALISIS EMPIRICO  |9 4821 
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