期刊
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
卷 41, 期 10, 页码 1839-1856出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/03610926.2011.552828
关键词
Exponential tempering; Heavy tails; Tail estimation; Tempered stable
资金
- NSF [DMS-102548, DMS-0803360]
- NIH [R01-EB012079]
- Division Of Mathematical Sciences
- Direct For Mathematical & Physical Scien [0803360] Funding Source: National Science Foundation
Tail estimates are developed for power law probability distributions with exponential tempering, using a conditional maximum likelihood approach based on the upper-order statistics. Tempered power law distributions are intermediate between heavy power-law tails and Laplace or exponential tails, and are sometimes called semi-heavy tailed distributions. The estimation method is demonstrated on simulated data from a tempered stable distribution, and for several data sets from geophysics and finance that show a power law probability tail with some tempering.
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