A simple robust estimation method for the thickness of heavy tails

DOI10.1016/S0378-3758(98)00093-7zbMath0931.62022OpenAlexW2087526395MaRDI QIDQ1299428

Hans-Peter Scheffler, Mark M. Meerschaert

Publication date: 21 February 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00093-7

zbMATH Keywords

regular variationdomain of attractionheavy tailsstable law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05)

Related Items (18)

Non-Gaussian semi-stable laws arising in sampling of finite point processes ⋮ Estimation problems for distributions with heavy tails ⋮ Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data ⋮ Estimation for heavy tailed moving average process ⋮ Moment-based tail index estimation ⋮ On an improvement of Hill and some other estimators ⋮ Semi-parametric regression estimation of the tail index ⋮ Tail index estimation in the presence of long-memory dynamics ⋮ Generalized least-squares estimators for the thickness of heavy tails ⋮ The role of ergodicity and mixing in the central limit theorem for Casati-Prosen triangle map variables ⋮ Distribution theory for the Studentized mean for long, short, and negative memory time series ⋮ Computer-intensive rate estimation, diverging statistics and scanning ⋮ On the measurement and treatment of extremes in time series ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Parameter estimation for one-sided heavy-tailed distributions ⋮ Self and spurious multi-affinity of ordinary Lévy motion, and pseudo-Gaussian relations ⋮ Parameter Estimation of Stable Distributions ⋮ Testing for (in)finite moments

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Precise tabulation of the maximally-skewed stable distributions and densities
• A moment estimator for the index of an extreme-value distribution
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Convergence to a stable distribution via order statistics
• Time series: theory and methods.
• Stable densities under change of scale and total variation inequalities
• A simple general approach to inference about the tail of a distribution
• Domains of semi-stable attraction of nonnormal semi-stable laws
• Series representation for semistable laws and their domains of semistable attraction
• Periodic moving averages of random variables with regularly varying tails
• Can one see \(\alpha\)-stable variables and processes?
• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• On testing the extreme value index via the POT-method
• Asymptotically efficient estimation of the index of regular variation
• On the domain of partial attraction of semi-stable distributions
• Simple consistent estimators of stable distribution parameters
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• A Method for Simulating Stable Random Variables
• Consistency of Hill's estimator for dependent data
• On Large Deviation Problems for Sums of Random Variables which are not Attracted to the Normal Law

This page was built for publication: A simple robust estimation method for the thickness of heavy tails