The harmonic moment tail index estimator : asymptotic distribution and robustness

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Annals of the Institute of Statistical Mathematics. 2013, 66(1), pp. 193-220. ISSN 0020-3157. eISSN 1572-9052. Available under: doi: 10.1007/s10463-013-0412-2
Zusammenfassung

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.

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510 Mathematik
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ISO 690BERAN, Jan, Dieter SCHELL, Milan STEHLÍK, 2013. The harmonic moment tail index estimator : asymptotic distribution and robustness. In: Annals of the Institute of Statistical Mathematics. 2013, 66(1), pp. 193-220. ISSN 0020-3157. eISSN 1572-9052. Available under: doi: 10.1007/s10463-013-0412-2
BibTex
@article{Beran2013harmo-26397,
  year={2013},
  doi={10.1007/s10463-013-0412-2},
  title={The harmonic moment tail index estimator : asymptotic distribution and robustness},
  number={1},
  volume={66},
  issn={0020-3157},
  journal={Annals of the Institute of Statistical Mathematics},
  pages={193--220},
  author={Beran, Jan and Schell, Dieter and Stehlík, Milan}
}
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