Small sample performance of robust estimators of tail parameters for pareto and exponential models

DOI10.1080/00949650108812103zbMath0988.62018MaRDI QIDQ2774401

Vytaras Brazauskas, Robert J. Serfling

Publication date: 2 July 2002

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650108812103

zbMATH Keywords

breakdown point; robust estimation; exponential model; Pareto model; small-sample performance; generalized median statistics; tail index parameters

Mathematics Subject Classification ID

62F10: Point estimation

62F35: Robustness and adaptive procedures (parametric inference)

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Cites Work

• Generalized L-, M-, and R-statistics
• Comparison of some robust estimators of scale in gamma samples with known shape
• Rejection of Outliers
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• Large-sample quantile estimation in pareto laws
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• Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
• Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics