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The harmonic moment tail index estimator: asymptotic distribution and robustness.

Authors :
Beran, Jan
Schell, Dieter
Stehlík, Milan
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