Improvements in the Estimation of a Heavy Tail
In this paper, and in a context of regularly varying tails, we suggest new tail index estimators, which provide interesting alternatives to the classical Hill estimator of the tail index γ. They incorporate some extra knowledge on the pattern of scaled top order statistics and seem to work generall...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2006-06-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/29 |