Generalized jackknife semi-parametric estimators of the tail index (Q1871549): Difference between revisions

Summary: We consider a natural generalized jackknife estimator of the index of regular variation \(\gamma\) of a heavy right-tail \(1-F(x)\), as \(x\to +\infty\), associated to any adequate semi-parametric estimator of \(\gamma\). Such an estimator is merely a linear combination of the original estimator at two different levels. We also study such a general linear combination asymptotically, and an illustration of how these results work in practice is provided.