A new method for estimating the tail index using truncated sample mean

Tang Fuquan and Han Dong ()
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Tang Fuquan: Shanghai Jiao Tong University
Han Dong: Shanghai Jiao Tong University

Metrika: International Journal for Theoretical and Applied Statistics, 2025, vol. 88, issue 6, No 13, 1069-1086

Abstract: Abstract This article proposes a new method of truncated estimation to estimate the tail index $$\alpha (0

Keywords: Heavy-tailed distributions; Tail index; Truncated sample mean; Simulation (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00184-024-00984-y

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