A class of unbiased location invariant Hill-type estimators for heavy tailed distributions

Based on the methods provided in Caeiro and Gomes (2002) and Fraga Alves (2001), a new class of location invariant Hill-type estimators is derived in this paper. Its asymptotic distributional representation and asymptotic normality are presented, and the optimal choice of sample fraction by Mean Squ...

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Veröffentlicht in:	arXiv.org 2008-09
Hauptverfasser:	Li, Jiaona, Peng, Zuoxiang, Nadarajah, Saralees
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic properties Computer simulation Economic models Estimators Invariants Mathematics - Statistics Theory Monte Carlo simulation Normality Statistics - Theory
Online-Zugang:	Volltext
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