Comparison of tail index estimators

L. De Haan and L. Peng

Statistica Neerlandica, 1998, vol. 52, issue 1, 60-70

Abstract: We compare various estimators for the index of distribution functions with regularly varying tails by calculating their asymptotic mean squared errors after choosing the optimal number of upper order statistics involved (which is different for different estimators).

Date: 1998
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