A modified Greenwood statistic is extended to the bivariate case for testing and estimating the stability index alpha in symmetric alpha-stable distributions, with simulations showing better performance than classical methods especially near alpha=2.
Mandelbrot, The Pareto-Lévy Law and the distributio n of income, International Economic Review 1 (2) (1960) 79–106
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Testing and estimation of the index of stability of univariate and bivariate symmetric $\alpha-$stable distributions via modified Greenwood statistic
A modified Greenwood statistic is extended to the bivariate case for testing and estimating the stability index alpha in symmetric alpha-stable distributions, with simulations showing better performance than classical methods especially near alpha=2.