“Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution,” Vytaras Brazauskas and Robert Serfling, October 2000.

2001 ◽  
Vol 5 (3) ◽  
pp. 123-126 ◽  
Author(s):  
Martin Bilodeau
Keyword(s):  
Pareto Distribution ◽  
Tail Index ◽  
Single Parameter ◽  
Efficient Estimation

A New Regression-Based Tail Index Estimator

2019 ◽  
Vol 101 (4) ◽  
pp. 667-680 ◽  
Author(s):  
João Nicolau ◽  
Paulo M. M. Rodrigues
Keyword(s):  
Time Dependence ◽  
Pareto Distribution ◽  
Asymptotic Variance ◽  
Tail Length ◽  
Bias Reduction ◽  
Tail Index ◽  
Slowly Varying Function ◽  
Heavy Tailed Distributions ◽  
Unknown Form ◽  
Heavy Tailed

A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it continues to perform satisfactorily; and fourth, it performs well under dependence of unknown form. An approach to compute the asymptotic variance under time dependence and conditional heteroskcedasticity is also provided.

A robust and efficient estimator for the tail index of inverse Pareto distribution

2019 ◽  
Vol 517 ◽  
pp. 431-439 ◽  
Author(s):  
Muhammad Aslam Mohd Safari ◽  
Nurulkamal Masseran ◽  
Kamarulzaman Ibrahim ◽  
Saiful Izzuan Hussain
Keyword(s):  
Pareto Distribution ◽  
Tail Index ◽  
Efficient Estimator
Sign in / Sign up

Export Citation Format

Share Document