A new class of estimators of a ``scale'' second order parameter (Q2463675)
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English | A new class of estimators of a ``scale'' second order parameter |
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A new class of estimators of a ``scale'' second order parameter (English)
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16 December 2007
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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.
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tail index
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heavy tails
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tail moments
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asymptotic normality
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