The harmonic moment tail index estimator: asymptotic distribution and robustness

Jan Beran (), Dieter Schell and Milan Stehlík

Annals of the Institute of Statistical Mathematics, 2014, vol. 66, issue 1, 193-220

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. Copyright The Institute of Statistical Mathematics, Tokyo 2014

Keywords: Tail index estimation; Regularly varying tail; Hill estimator; Robustness; Asymptotic distribution (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10463-013-0412-2

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