The harmonic moment tail index estimator: Asymptotic distribution and robustness

Annals of the Institute of Statistical Mathematics

Volumn 66, Issue 1, 2014, Pages 193-220

  Beran, Jan ^a   Schell, Dieter ^a   Stehlík, Milan ^b  

^a UNIVERSITY OF KONSTANZ   (Germany)

^b JOHANNES KEPLER UNIVERSITY LINZ   (Austria)

Author keywords

Asymptotic distribution; Hill estimator; Regularly varying tail; Robustness; Tail index estimation

Indexed keywords

ASYMPTOTIC DISTRIBUTIONS; ASYMPTOTIC PROPERTIES; HILL ESTIMATOR; REGULARLY VARYING TAIL; ROBUSTNESS PROPERTIES; SIMULATION STUDIES; TAIL INDEX; TUNING PARAMETER;

ASYMPTOTIC ANALYSIS; ROBUSTNESS (CONTROL SYSTEMS);

ESTIMATION;

EID: 84892580203     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-013-0412-2     Document Type: Article

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