A Nonparametric Sequential Test with Power 1 for the Mean of Lévy-stable Laws with Infinite Variance |
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| Authors: | Abdelhakim Necir |
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| Institution: | (1) Laboratory of Applied Mathematics, PO Box 145 RP, 07000 Biskra, Algeria |
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| Abstract: | A nonparametric sequential test with power one for the mean of Lévy-stable laws with infinite variance is given. Our considerations
are based on a law of the iterated logarithm for Peng’s estimator Peng, Stat. Probab. Lett., 52:255–264, 2001] of the mean of heavy-tailed distributions. Our main motivation comes from applications to financial data,
and in particular to sequential control of daily asset returns.
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| Keywords: | Heavy tails Hill’ s estimator Lévy-stable law Law of the iterated logarithm Sequential test Asset returns |
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