Estimation tail parameter for Geometric Brownian motion

Noor Abd Hassan, Muhannad F. Al-Saadony
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Abstract

Right-tailed distributions are very important in many applications. There are many studies estimating the tail index. In this paper, we will estimate the tail parameter  using the three (the Direct, Bootstrap and Double Bootstrap) methods. Our aim is to illustrate the best way to estimate the   -stable with  using simulation and real data for the daily Iraqi financial market dataset.
几何布朗运动尾部参数估计
右尾分布在许多应用中非常重要。对尾指数的估计有很多研究。在本文中,我们将使用三种方法(直接,Bootstrap和双Bootstrap)来估计尾部参数。我们的目标是通过使用伊拉克金融市场每日数据集的模拟和真实数据来说明估计-稳定性的最佳方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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