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- W3022126788 abstract "Abstract Stable subordinators, and more general subordinators possessing power law probability tails, have been widely used in the context of subdiffusions, where particles get trapped or immobile in a number of time periods, called constant periods. The lengths of the constant periods follow a one-sided distribution which involves a parameter between 0 and 1 and whose first moment does not exist. This paper constructs an estimator for the parameter, applying the method of moments to the number of observed constant periods in a fixed time interval. The resulting estimator is asymptotically unbiased and consistent, and it is well-suited for situations where multiple observations of the same subdiffusion process are available. We present supporting numerical examples and an application to market price data for a low-volume stock." @default.
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- W3022126788 date "2020-09-01" @default.
- W3022126788 modified "2023-09-24" @default.
- W3022126788 title "Parameter estimation for one-sided heavy-tailed distributions" @default.
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- W3022126788 doi "https://doi.org/10.1016/j.spl.2020.108808" @default.
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