The harmonic moment tail index estimator: asymptotic distribution and robustness

J. Beran; D. Schell; Milan Stehlik

doi:10.1007/s10463-013-0412-2

The harmonic moment tail index estimator: asymptotic distribution and robustness

J. Beran
, D. Schell
, Milan Stehlik

Abteilung für Datengewinnung und Datenqualität

Publikation: Beitrag in Fachzeitschrift › Artikel › Begutachtung

Abstract

Asymptotic properties of the harmonic moment tail index Estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and efficiency. Small sample properties are illustrated by a simulation study.

Originalsprache	Englisch
Seiten (von - bis)	193-220
Seitenumfang	28
Fachzeitschrift	Annals of the Institute of Statistical Mathematics
Volume	66
Ausgabenummer	1
DOIs	https://doi.org/10.1007/s10463-013-0412-2
Publikationsstatus	Veröffentlicht - Feb. 2014

Wissenschaftszweige

101018 Statistik
101029 Mathematische Statistik

JKU-Schwerpunkte

Computation in Informatics and Mathematics

Zugriff auf Dokument

10.1007/s10463-013-0412-2

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Model selection
Duller, C. (Forscher*in) & Wagner, H. (Projektleiter*in)
01.01.2012 → 31.12.2025
Projekt: Anderes › Projekt aus Wissenschaftsgebiet der Forschungseinheit

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The harmonic moment tail index estimator: asymptotic distribution and robustness

Abstract

Wissenschaftszweige

JKU-Schwerpunkte

Zugriff auf Dokument

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Projekte

Model selection

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