Estimation of a tail index based on minimum density power divergence

Moosup Kim and Sangyeol Lee

Journal of Multivariate Analysis, 2008, vol. 99, issue 10, 2453-2471

Abstract: In this paper, we consider the minimum density power divergence estimator for the tail index of heavy tailed distributions in strong mixing processes. It is shown that the estimator is consistent and asymptotically normal under regularity conditions. The simulation results demonstrate that the estimator is robust in the presence of outliers.

Keywords: 62M10; 62F12; Tail; index; Minimum; density; power; divergence; estimator; Robustness; Outliers; Strong; mixing; processes (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (12)

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