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Avtomatika i Telemekhanika, 2019, Issue 10, Pages 62–77
DOI: https://doi.org/10.1134/S0005231019100039 (Mi at15172) 		 
This article is cited in 1 scientific paper (total in 1 paper)

A class of semiparametric tail index estimators and its applications

M. Vaičiulisa, N. M. Markovichb

a Vilnius University, Vilnius, Lithuania
b Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (1742 kB) Citations (1)
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DOI: https://doi.org/10.1134/S0005231019100039
Abstract: A new class of semiparametric estimators of the tail index is proposed. These estimators are based on a rather general class of semiparametric statistics. Their asymptotic normality is proved. The new estimators are compared with several other recently introduced estimators of the tail index in terms of the asymptotic mean-square error. An algorithm to calculate the new estimators is developed and then applied to several real data sets.
Keywords: tail index, Hill's estimator, normal distribution, asymptotic mean-square error.
Funding agency Grant number
Russian Foundation for Basic Research 19-01-00090
The work of N.M. Markovich was supported in part by the Russian Foundation for Basic Research, project no. 19-01-00090.

Received: 19.07.2018
Revised: 02.10.2018
Accepted: 08.11.2018
English version:
Automation and Remote Control, 2019, Volume 80, Issue 10, Pages 1803–1816
DOI: https://doi.org/10.1134/S0005117919100035
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. Vaičiulis, N. M. Markovich, “A class of semiparametric tail index estimators and its applications”, Avtomat. i Telemekh., 2019, no. 10, 62–77; Autom. Remote Control, 80:10 (2019), 1803–1816
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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