Dual divergence estimators of the tail index (Q1952682): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 06:20, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Dual divergence estimators of the tail index |
scientific article |
Statements
Dual divergence estimators of the tail index (English)
0 references
3 June 2013
0 references
Summary: The main purpose of the present paper is to propose a new estimator of the tail index using \(\phi\)-divergences and the duality technique. These estimators are explored with respect to robustness through the influence function approach. The empirical performances of the proposed estimators are illustrated by simulation.
0 references
\(\phi\)-divergences
0 references
tail index
0 references
estimator
0 references