On estimation of the exponent of regular variation using a sample with missing observations

Pavle Mladenovic and Vladimir Piterbarg ()

Statistics & Probability Letters, 2008, vol. 78, issue 4, 327-335

Abstract: Let (Xn) be a sequence of possibly dependent random variables with the same marginal distribution function F, such that 1-F(x)=x-[alpha]L(x), [alpha]>0, where L(x) is a slowly varying function. In this paper the Hill estimator of the exponent of regular variation based on a sample with missing observations from the sequence (Xn) is considered. The asymptotic consistency was proved under some general conditions. This extends results of Hsing [1991. On tail index estimation using dependent data. Ann. Statist. 19, 1547-1569].

Keywords: Regular; variation; Order; statistics; Missing; observations; Parameter; estimation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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