Local robust and asymptotically unbiased estimation of conditional Pareto-type tails

Goedele Dierckx, Yuri Goegebeur () and Armelle Guillou

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2014, vol. 23, issue 2, 330-355

Abstract: We introduce a non-parametric robust and asymptotically unbiased estimator for the tail index of a conditional Pareto-type response distribution in presence of random covariates. The estimator is obtained from local fits of the extended Pareto distribution to the relative excesses over a high threshold using an adjusted minimum density power divergence estimation technique. We derive the asymptotic properties of the proposed estimator under some mild regularity conditions, and also investigate its finite sample performance with a small simulation experiment. The practical applicability of the methodology is illustrated on a dataset of calcium content measurements of soil samples. Copyright Sociedad de Estadística e Investigación Operativa 2014

Keywords: Pareto-type distribution; Tail index; Bias-correction; Density power divergence; Local estimation; 62G05; 62G20; 62G32; 62G35 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s11749-013-0350-6

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