Tail index estimation based on linear combinations of intermediate order statistics

L. Viharos

Statistica Neerlandica, 1997, vol. 51, issue 2, 164-177

Abstract: Based on linear combinations of intermediate order statistics, we introduce a new class of estimators for the exponent of a distribution function F with a regularly varying upper tail. We prove asymptotic normality and we make a comparison with existing proposals using the mean squared error as criterion.

Date: 1997
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