Abstract
This article focuses on the estimation of the stability index and scale parameter of stable random variables. We study an estimator based on log-moments,. The main advantage of this estimator is that it has a simple closed-form expression. This allows us to prove an almost sure convergence result as well as a central limit theorem. We show how to improve the accuracy of this estimator by combining it with previously defined ones. The closed-form also enables us to consider the case of non-identically distributed data, and we show that our results still hold provided deviations from stationarity are ‘small’. Using a centro-symmetrization, we expand the previous estimators to skewed stable variables and we construct a test to check the skewness of the data. As applications, we show numerically that the stability index of multistable Lévy motion may be estimated accurately and consider a financial log&.
Acknowledgments
We thank the referees for their valuable comments which helped to improve this article. J. Lévy Véhel gratefully acknowledges financial support from SMABTP.
Disclosure statement
No potential conflict of interest was reported by the author(s).