On the favorable estimation for fitting heavy tailed data

Exact distribution theory in statistics (62E15) Parametric hypothesis testing (62F03) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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A robust estimator for the tail index of Pareto-type distributions
On the Lambert \(w\) function
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
Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
INDUCED CORES AND THEIR USE IN ROBUST PARAMETRIC ESTIMATION
On the favorable estimation for fitting heavy tailed data
Exact likelihood ratio scale and homogeneity testing of some loss processes
New Measures of Central Tendency and Variability of Continuous Distributions

Cited In (22)

Log‐symmetric quantile regression models
Robust estimator of conditional tail expectation of Pareto-type distribution
Dichotomous unimodal compound models: application to the distribution of insurance losses
Score function of distribution and revival of the moment method
The Latest Advances on the Hill Estimator and Its Modifications
Acknowledgment of priority: Usage of the Lambert \(W\) function in statistics
Finite-sample performance of the T- and W-estimators for the Pareto tail index under data truncation and censoring
Small Sample Robust Testing for Normality against Pareto Tails
Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
Weak properties and robustness of t-Hill estimators
The Hill estimators under power normalization
On the favorable estimation for fitting heavy tailed data
IPO estimation of heaviness of the distribution beyond regularly varying tails
Likelihood testing with censored and missing duration data
A class of new tail index estimators
A measure of variability within parametric families of continuous distributions
Method of Winsorized Moments for Robust Fitting of Truncated and Censored Lognormal Distributions
Mean, mode or median? The score mean
Tail index estimation with a fixed tuning parameter fraction
The estimations under power normalization for the tail index, with comparison
The harmonic moment tail index estimator: asymptotic distribution and robustness

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