On a property of the inequality curve λ(p)

2018/06/15 by Emanuele Taufer, Flavio Santi, Taufer, Emanuele +5
Economics, Econometrics and Finance · Mathematics · #62G05 #Advanced Harmonic Analysis Research #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Mathematical Approximation and Integration #Methodology (stat.ME) #Monetary Policy and Economic Impact #Point processes and geometric inequalities

paper · pdf · doi:10.48550/arxiv.1806.05928

openalex publication_date 2018/06/15 · openalex created_date 2024/04/10 · openalex updated_date 2026/07/28

Abstract

The Zenga (1984) inequality curve is constant in p for Type I Pareto distributions. We show that this property holds exactly only for the Pareto distribution and, asymptotically, for distributions with power tail with index -a, with a greater than 1. Exploiting these properties one can develop powerful tools to analyze and estimate the tail of a distribution.

Citations

• Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function

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