Estimating the mean of heavy-tailed distributions

DOI10.1023/B:EXTR.0000025668.95782.3DMaRDI QIDQ1775992zbMATH OpenOpenAlexFDO

Authors Joachim Johansson

Publication date 20 May 2005

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:extr.0000025668.95782.3d

zbMATH Keywords

asymptotic normalityPareto distributionPareto approximation

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Applications of statistics in engineering and industry; control charts (62P30) Statistics of extreme values; tail inference (62G32)

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Cited in

(22)

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• Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
• How heavy-tailed distributions affect simulation-generated time averages
• Expectations of large data means
• POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks
• scientific article; zbMATH DE number 6383001 (Why is no real title available?)
• Processing quantities with heavy-tailed distribution of measurement uncertainty: how to estimate the tails of the results of data processing
• Estimation of a heavy-tailed Weibull-Pareto distribution and its application to QoE modeling
• A remark on multiobjective stochastic optimization via strongly convex functions
• Point process-based Monte Carlo estimation
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
• Estimating the Mean of Heavy-tailed Distribution under Random Truncation
• Estimating the mean of a heavy tailed distribution
• Estimation problems for distributions with heavy tails

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