J. Beran, D. Schell, Milan Stehlik,
"The harmonic moment tail index estimator: asymptotic distribution and robustness"
, in Annals of the Institute of Statistical Mathematics, Vol. 66, Nummer 1, Seite(n) 193-220, 2014, ISSN: 1572-9052
Original Titel:
The harmonic moment tail index estimator: asymptotic distribution and robustness
Sprache des Titels:
Englisch
Original Kurzfassung:
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.
Sprache der Kurzfassung:
Englisch
Journal:
Annals of the Institute of Statistical Mathematics