Asymptotic normality of location invariant heavy tail index estimator
Motivated by Fraga Alves (Extremes 4:199–217, 2001 )’s work, a new class of location invariant Hill-type estimators for the tail index of a heavy tailed distribution is proposed in the paper. Its asymptotic behavior is derived, and the optimal choice of the sample fraction is discussed by mean squar...
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| Veröffentlicht in: | Extremes (Boston) 2010-09, Vol.13 (3), p.269-290 |
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| creator | Li, Jiaona Peng, Zuoxiang Nadarajah, Saralees |
| description | Motivated by Fraga Alves (Extremes 4:199–217,
2001
)’s work, a new class of location invariant Hill-type estimators for the tail index of a heavy tailed distribution is proposed in the paper. Its asymptotic behavior is derived, and the optimal choice of the sample fraction is discussed by mean squared error. Asymptotic comparisons and simulation studies are presented to show that the new estimator performs well compared to the known ones. |
| doi_str_mv | 10.1007/s10687-009-0088-4 |
| format | Article |
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2001
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| source | SpringerLink Journals; Business Source Complete |
| subjects | Civil Engineering Economics Environmental Management Estimating techniques Finance Hydrogeology Insurance Management Mathematics Mathematics and Statistics Quality Control Random variables Reliability Safety and Risk Statistics Statistics for Business Studies |
| title | Asymptotic normality of location invariant heavy tail index estimator |
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