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

Department of Data Acquisition and Data Quality

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	193-220
Number of pages	28
Journal	Annals of the Institute of Statistical Mathematics
Volume	66
Issue number	1
DOIs	https://doi.org/10.1007/s10463-013-0412-2
Publication status	Published - 2014

Fields of science

101018 Statistics
101029 Mathematical statistics

JKU Focus areas

Computation in Informatics and Mathematics

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10.1007/s10463-013-0412-2

Cite this

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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.",

author = "J. Beran and D. Schell and Milan Stehlik",

year = "2014",

doi = "10.1007/s10463-013-0412-2",

language = "English",

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journal = "Annals of the Institute of Statistical Mathematics",

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T1 - The harmonic moment tail index estimator: asymptotic distribution and robustness

AU - Beran, J.

AU - Schell, D.

AU - Stehlik, Milan

PY - 2014

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N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/84892580203

U2 - 10.1007/s10463-013-0412-2

DO - 10.1007/s10463-013-0412-2

M3 - Article

SN - 1572-9052

VL - 66

SP - 193

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JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

IS - 1

ER -

The harmonic moment tail index estimator: asymptotic distribution and robustness

Abstract

Fields of science

JKU Focus areas

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Model selection

Cite this

The harmonic moment tail index estimator: asymptotic distribution and robustness

Abstract

Fields of science

JKU Focus areas

Access to Document

Other files and links

Projects

Model selection

Cite this