The harmonic moment tail index estimator : asymptotic distribution and robustness

Kurzanzeige
dc.contributor.authorBeran, Jan
dc.contributor.authorSchell, Dieter
dc.contributor.authorStehlík, Milandeu
dc.date.accessioned2014-02-18T10:39:25Zdeu
dc.date.available2014-02-18T10:39:25Zdeu
dc.date.issued2013
dc.description.abstractAsymptotic 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.eng
dc.description.versionpublished
dc.identifier.citationAnnals of the Institute of Statistical Mathematics ; 66 (2014), 1. - S. 193-220deu
dc.identifier.doi10.1007/s10463-013-0412-2deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/26397
dc.language.isoengdeu
dc.legacy.dateIssued2014-02-18deu
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subject.ddc510deu
dc.titleThe harmonic moment tail index estimator : asymptotic distribution and robustnesseng
dc.typeJOURNAL_ARTICLEdeu
dspace.entity.typePublication
kops.citation.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}
}
kops.citation.iso690BERAN, 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/s10463-013-0412-2deu
kops.citation.iso690BERAN, 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/s10463-013-0412-2eng
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kops.sourcefieldAnnals of the Institute of Statistical Mathematics. 2013, <b>66</b>(1), pp. 193-220. ISSN 0020-3157. eISSN 1572-9052. Available under: doi: 10.1007/s10463-013-0412-2deu
kops.sourcefield.plainAnnals of the Institute of Statistical Mathematics. 2013, 66(1), pp. 193-220. ISSN 0020-3157. eISSN 1572-9052. Available under: doi: 10.1007/s10463-013-0412-2deu
kops.sourcefield.plainAnnals of the Institute of Statistical Mathematics. 2013, 66(1), pp. 193-220. ISSN 0020-3157. eISSN 1572-9052. Available under: doi: 10.1007/s10463-013-0412-2eng
kops.submitter.emailchristoph.petzmann@uni-konstanz.dedeu
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