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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
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.
Received: 19.07.2018 Revised: 02.10.2018 Accepted: 08.11.2018
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
Linking options:
https://www.mathnet.ru/eng/at15172 https://www.mathnet.ru/eng/at/y2019/i10/p62
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Abstract page: | 136 | Full-text PDF : | 23 | References: | 19 | First page: | 9 |
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