On tail index estimation using a sample with missing observations

Ivana Ilić

Statistics & Probability Letters, 2012, vol. 82, issue 5, 949-958

Abstract: For the sequence of heavy-tailed, dependent and heterogeneous random variables with the missing observations the estimation of the tail-index is considered. Under minimal but verifiable assumption of “extremal dependence” we proved the consistency of a geometric-type estimator (Brito and Freitas, 2003). We extended results from Mladenović and Piterbarg (2008) and proved the consistency and the asymptotic normality of the Hill estimator. Illustrative examples are provided.

Keywords: Missing observations; Extremal dependence; Near epoch dependence; Parameter estimation; Tail indices (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.01.014

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