A new class of estimators of a ``scale'' second order parameter (Q2463675)

Let \(X_i\) be i.i.d. r.v.s with heavy-tailed CDF \(F(x)\) such that \[ 1-F(x)=(x/C)^{-1/\gamma}((1+(\beta/\rho)(x/C)^{\rho/\gamma} +\beta'(x/C)^{2\rho/\gamma}(1+o(1))), \] where \(\gamma\) is the tail index (\(\gamma>0\)), and \(\rho<0\) and \(\beta\) are the ``second order parameters''. The authors construct an estimator for \(\beta\) based on the ``tail moments'' \[ M_n^{(\alpha)}=(k)^{-1}\sum_{i=1}^k [\log X_{n-i+1:n}-\log X_{n-k:n}]^\alpha. \] Consistency and asymptotic normality of the estimator are demonstrated. The small sample properties of the estimator are investigated via simulations.