The harmonic moment tail index estimator: asymptotic distribution and robustness

DOI10.1007/s10463-013-0412-2zbMath1281.62123OpenAlexW2085641133MaRDI QIDQ2434141

Jan Beran, Milan Stehlík, Dieter Schell

Publication date: 17 February 2014

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-013-0412-2

zbMATH Keywords

robustnessHill estimatorregularly varying tail

Mathematics Subject Classification ID

Related Items (30)

Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations ⋮ Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application ⋮ The stochastic approximation method for recursive kernel estimation of the conditional extreme value index ⋮ Mixed Poisson process with Pareto mixing variable and its risk applications ⋮ Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation ⋮ Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ Weak properties and robustness of t-Hill estimators ⋮ On the comparison of several classical estimators of the extreme value index ⋮ Mean, mode or median? The score mean ⋮ A class of semiparametric tail index estimators and its applications ⋮ Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Finite-sample performance of the T- and W-estimators for the Pareto tail index under data truncation and censoring ⋮ Comparison of the several parameterized estimators for the positive extreme value index ⋮ Tail index estimation with a fixed tuning parameter fraction ⋮ Semi-parametric regression estimation of the tail index ⋮ Integral functionals and the bootstrap for the tail empirical process ⋮ A refined Weissman estimator for extreme quantiles ⋮ Robust estimator of conditional tail expectation of Pareto-type distribution ⋮ Limit laws for the norms of extremal samples ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A class of new tail index estimators ⋮ The Latest Advances on the Hill Estimator and Its Modifications ⋮ IPO estimation of heaviness of the distribution beyond regularly varying tails ⋮ The Hill estimators under power normalization ⋮ The estimations under power normalization for the tail index, with comparison ⋮ The tail empirical process for long memory stochastic volatility models with leverage ⋮ Editorial to special issue V WCDANM 2018 ⋮ Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications ⋮ A class of location invariant estimators for heavy tailed distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions
• On the favorable estimation for fitting heavy tailed data
• Tail estimates motivated by extreme value theory
• Bootstrap and empirical likelihood methods in extremes
• A robust estimator for the tail index of Pareto-type distributions
• Kernel estimates of the tail index of a distribution
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Residual life time at great age
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Asymptotic normality of least-squares estimators of tail indices
• Likelihood based confidence intervals for the tail index
• Robust estimation of the generalized Pareto distribution
• On robust tail index estimation
• Improved reduced-bias tail index and quantile estimators
• Robust and efficient estimation for the generalized Pareto distribution
• Central limit theorems for sums of extreme values
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• On asymptotic normality of the hill estimator
• Comparison of tail index estimators
• Statistics of Extremes
• Small Sample Robust Testing for Normality against Pareto Tails
• Pareto Tail Index Estimation Revisited
• Heavy-Tail Phenomena
• Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
• Confidence intervals for the tail index

This page was built for publication: The harmonic moment tail index estimator: asymptotic distribution and robustness