On the Optimality of Estimating the Tail Index and a Naive Estimator

DOI10.1111/J.1467-842X.1987.TB00732.XzbMATH Open0627.62032OpenAlexW2082675058MaRDI QIDQ3763402FDOQ3763402

Authors: Miklós Csörgo, Lajos Horváth, Pál Révész 

Publication date: 1987

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.1987.tb00732.x

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zbMATH Keywords

asymptotic normalityorder statisticsrates of convergencecentral limit theoremsnaive estimatorestimating the tail indexstrong and weak consistencies

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cited In (9)

• Adaptive and minimax optimal estimation of the tail coefficient
• An adaptive optimal estimate of the tail index for MA(1) time series
• Optimal rates of convergence in the Weibull model based on kernel-type estimators
• On local uniformity for estimators and confidence limits
• Optimal index estimation of heavy-tailed distributions
• Inference for heavy tailed distributions
• Asymptotically efficient estimation of the index of regular variation
• Weak limiting behaviour of a simple tail Pareto-index estimator
• Asymptotics of the distribution of the ratio of sums of random variables

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