A new method for estimating the tail index using truncated sample mean

DOI10.1007/S00184-024-00984-YMaRDI QIDQ6917770zbMATH OpenFDO

Authors Tang Fuquan, Han Dong

Publication date 13 October 2025

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00184-024-00984-Y

zbMATH Keywords

heavy-tailed distributionssimulationtail indextruncated sample mean

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A moment estimator for the index of an extreme-value distribution
• A new estimator for a tail index
• A simple general approach to inference about the tail of a distribution
• Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
• Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
• Extreme value statistics for censored data with heavy tails under competing risks
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Fat-tailed distributions. Data, diagnostics and dependence
• Heavy-Tail Phenomena
• IPO estimation of heaviness of the distribution beyond regularly varying tails
• Several modifications of DPR estimator of the tail index
• The qq-estimator and heavy tails
• Trimmed extreme value estimators for censored heavy-tailed data
• Weak asymptotic results for t-Hill estimator
• Weak properties and robustness of t-Hill estimators

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