Bibtex

[JulienSiems]

I am using your code and it would be good to able to cite your repo!
Could you post how you'd like it to be cited?

Thanks for your great work!

[josemiotto]

Hi Julien! You can cite this zenodo link, which has a doi, or the paper associated with it (there is a link on the zenodo page) https://zenodo.org/record/53787#.Yb8KzEYo-Nx I realize that it has an old version, I.e. not synced with github. When I come back from vacations in a week I will update it, if you want to wait. Best, and thanks, José

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On Thu, 16 Dec 2021, 17:57 Julien, ***@***.***> wrote: I am using your code and it would be good to able to cite your repo! Could you post how you'd like it to be cited? Thanks for your great work! — Reply to this email directly, view it on GitHub <#17>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AACCTUUHH2ARE6E72KHRAMDURILBBANCNFSM5KGZ2ASQ> . Triage notifications on the go with GitHub Mobile for iOS <https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675> or Android <https://play.google.com/store/apps/details?id=com.github.android&referrer=utm_campaign%3Dnotification-email%26utm_medium%3Demail%26utm_source%3Dgithub>. You are receiving this because you are subscribed to this thread.Message ID: ***@***.***>

[JulienSiems]

Hi José,

Great, no rush! Let me know once you have updated it.
I am pretty surprised how well fitting a stable distribution via your tabulated values works.
I compared against a more classical estimator for the tail index for samples of a stable distribution with different tail indices and skewness and your estimator was an order of magnitude more accurate in terms of mean absolute error.

I did notice some outliers in the estimation, though. It may help to implement retries for the optimization in scipy or use evolutionary algorithm, like differential evolution, rather than gradient-based optimization?

Best,
Julien

[josemiotto]

Hi, It is surprising indeed haha. I don't know what estimators you are using but the classic problem there is to choose a boundary for the tail. Can I ask you for what are you using it? Best, José

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On Sun, 19 Dec 2021, 12:09 Julien, ***@***.***> wrote: Hi José, Great, no rush! Let me know once you have updated it. I am pretty surprised how well fitting a stable distribution via your tabulated values works. I compared against a more classical estimator for the tail index for samples of a stable distribution with different tail indices and skewness and your estimator was an order of magnitude more accurate in terms of mean absolute error. Best, Julien — Reply to this email directly, view it on GitHub <#17 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AACCTUSTKGC5XMJN5QQCKCLURW4QBANCNFSM5KGZ2ASQ> . Triage notifications on the go with GitHub Mobile for iOS <https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675> or Android <https://play.google.com/store/apps/details?id=com.github.android&referrer=utm_campaign%3Dnotification-email%26utm_medium%3Demail%26utm_source%3Dgithub>. You are receiving this because you commented.Message ID: ***@***.***>

[JulienSiems]

Hi José,

but the classic problem there is to choose a boundary for the tail.

Do you mean to find the tail index by fitting an exponential decay to the tails?

I am using this one: https://link.springer.com/article/10.1007/s00184-014-0515-7 (Corollary 2.4)
It's for example used quite extensively in: https://arxiv.org/abs/1901.06053
Below, is the plot I meant for the absolute alpha estimation error for different stable samples.

Best,

Julien