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The harmonic moment tail index estimator: asymptotic distribution and robustness.
- Source :
-
Annals of the Institute of Statistical Mathematics . Feb2014, Vol. 66 Issue 1, p193-220. 28p. - Publication Year :
- 2014
-
Abstract
- Asymptotic properties of the harmonic moment tail index Estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and efficiency. Small sample properties are illustrated by a simulation study. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00203157
- Volume :
- 66
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Annals of the Institute of Statistical Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 93437570
- Full Text :
- https://doi.org/10.1007/s10463-013-0412-2