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Seminar on Probability Theory and Mathematical Statistics
December 23, 2011 18:00, St. Petersburg, PDMI, room 311 (nab. r. Fontanki, 27)
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Lower bounds to the accuracy of tail index estimation
S. Yu. Novak |
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Abstract:
We deal with the problem of statistical inference on heavy-tailed
distributions. We present non-uniform minimax lower bounds to the mean
squared error (MSE) of tail index and extreme quantiles estimators. We
show that the MSE of a robust estimator depends in a particular way on the
sample size, the tail index and the tail constant, revealing the the
natural normalising sequence.
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