Exact tests and confidence sets for the tail coefficient of a-stable distributions / Jean-Marie Dufour, Jeong-Ryeol Kurz-Kim.
Tipo de material: TextoSeries Discussion paper (Deutsche Bundesbank). Series 1: Studies of the Economic Research Centre ; no. 16/2003Detalles de publicación: Frankfurt am Main : Deutsche Bundesbank, 2003Descripción: 21 pISBN:- 3935821727
- 23 330.015195
Contenidos:
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.
Tipo de ítem | Biblioteca actual | Signatura topográfica | Estado | Fecha de vencimiento | Código de barras | |
---|---|---|---|---|---|---|
Documento | Biblioteca Manuel Belgrano | F 330.015195 D 20597 (Navegar estantería(Abre debajo)) | Disponible | 20597 F |
Bibliografía: p. 14-15.
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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