Dual divergence estimators of the tail index (Q1952682)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dual divergence estimators of the tail index |
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Dual divergence estimators of the tail index (English)
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3 June 2013
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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.
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\(\phi\)-divergences
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tail index
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estimator
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