Department of Statistics, College of Administration and Economics, University of Al-Qadisiyah, Diwaniyah, Iraq.
Abstract
Heavy-tailed distributions are very important branch in statistical analysis. In this paper, we will estimate the tail parameter (a) using three (the Direct, Bootstrap and Double Bootstrap) methods in two examples of Stochastic Differential Equations driven by (Brownian Motion and Levy Process). Our aim is to illustrate the best way to estimate the a-stable with (0<a<2) using simulation and real data for the daily Iraqi financial market dataset.
Al-Saadony, M. F., & Hassan, N. A. (2022). Heavy Tailed Estimation in Stochastic Differential Equations With An Application. Int. J. of Aquatic Science, 13(1), 108-121.
MLA
Muhannad F. Al-Saadony; Noor Abd Hassan. "Heavy Tailed Estimation in Stochastic Differential Equations With An Application". Int. J. of Aquatic Science, 13, 1, 2022, 108-121.
HARVARD
Al-Saadony, M. F., Hassan, N. A. (2022). 'Heavy Tailed Estimation in Stochastic Differential Equations With An Application', Int. J. of Aquatic Science, 13(1), pp. 108-121.
VANCOUVER
Al-Saadony, M. F., Hassan, N. A. Heavy Tailed Estimation in Stochastic Differential Equations With An Application. Int. J. of Aquatic Science, 2022; 13(1): 108-121.
)