AL-Najafi Amenah and Stachó László Lajos and Viharos László: Regression estimators for the tail index. In: Acta scientiarum mathematicarum, (87) 3-4. pp. 649-678. (2021)
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Abstract
We propose a class of weighted least squares estimators for the tail index of a distribution function with a regularly varying tail. Our approach is based on the method developed by Holan and McElroy (2010) for the Parzen tail index. We prove asymptotic normality and consistency for the estimators under suitable assumptions. These and earlier estimators are compared in various models through a simulation study using the mean squared error as criterion. The results show that the weighted least squares estimator has good performance.
| Item Type: | Article |
|---|---|
| Heading title: | Probability theory |
| Journal or Publication Title: | Acta scientiarum mathematicarum |
| Date: | 2021 |
| Volume: | 87 |
| Number: | 3-4 |
| ISSN: | 2064-8316 |
| Page Range: | pp. 649-678 |
| Language: | English |
| Place of Publication: | Szeged |
| Related URLs: | http://acta.bibl.u-szeged.hu/75796/ |
| DOI: | 10.14232/actasm-020-361-6 |
| Uncontrolled Keywords: | Valószínűségszámítás |
| Additional Information: | Bibliogr.: 678. p. ; ill. ; összefoglalás angol nyelven |
| Subjects: | 01. Natural sciences 01. Natural sciences > 01.01. Mathematics |
| Date Deposited: | 2022. May. 24. 13:55 |
| Last Modified: | 2022. May. 24. 13:55 |
| URI: | http://acta.bibl.u-szeged.hu/id/eprint/75859 |
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