A bias-reduced estimator for the mean of a heavy-tailed distribution with an infinite second moment
DOI10.1016/J.JSPI.2012.12.010zbMath1428.62196arXiv1201.1578OpenAlexW2020732228MaRDI QIDQ1948171
Djamel Meraghni, Abdelhakim Necir, Brahim Brahimi, Djabrane Yahia
Publication date: 2 May 2013
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.1578
bias reductionextreme valuesregular variationheavy-tailed distributionsmeantail indexHill estimatort-Hill estimatorpeng estimator
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)
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