A class of new tail index estimators
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Publication:520570
DOI10.1007/S10463-015-0548-3zbMATH Open1362.62116arXiv1501.00811OpenAlexW2196865181MaRDI QIDQ520570FDOQ520570
Authors: V. Paulauskas, Marijus Vaičiulis 
Publication date: 5 April 2017
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Abstract: In the paper we propose some new class of functions which is used to construct tail index estimators. Functions from this new class is non-monotone in general, but presents a product of two monotone functions: the power function and the logarithmic function, which plays essential role in the classical Hill estimator. Introduced new estimators have better asymptotic performance comparing with the Hill estimator and other popular estimators over all range of the parameters present in the second order regular variation condition. Asymptotic normality of the introduced estimators is proved, and comparison (using asymptotic mean square error) with other estimators of the tail index is provided. Some preliminary simulation results are presented.
Full work available at URL: https://arxiv.org/abs/1501.00811
Recommendations
Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
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Cited In (25)
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
- A new estimator for a tail index
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- Inference of high quantiles of a heavy-tailed distribution from block data
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