A new approach on estimation of the tail index

Dimitris N. Politis

doi:10.1016/S1631-073X(02)02450-0

A new approach on estimation of the tail index
[Une nouvelle méthode pour l'estimation de l'index d'une queue]

Dimitris N. Politis ¹

¹ Department of Mathematics, University of California–San Diego, La Jolla, CA 92093, USA

Comptes Rendus. Mathématique, Volume 335 (2002) no. 3, pp. 279-282.

Résumé
Abstract

Une nouvelle méthode est proposée pour l'estimation de l'index d'une queue de distribution. Elle est basée sur l'étude de statistiques divergentes. Les estimateurs résultants sont simples à construire et peuvent être utilisés pour résoudre d'autres problèmes d'estimation.

A new approach on tail index estimation is proposed based on studying the in-sample evolution of appropriately chosen diverging statistics. The resulting estimators are simple to construct, and they can be generalized to address other rate estimation problems as well.

Reçu le : 2001-12-21
Accepté le : 2002-05-31
Publié le : 2002-01-01

DOI : 10.1016/S1631-073X(02)02450-0

Affiliations des auteurs :

Dimitris N. Politis ¹

¹ Department of Mathematics, University of California–San Diego, La Jolla, CA 92093, USA

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Dimitris N. Politis. A new approach on estimation of the tail index. Comptes Rendus. Mathématique, Volume 335 (2002) no. 3, pp. 279-282. doi : 10.1016/S1631-073X(02)02450-0. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/S1631-073X(02)02450-0/

Bibliographie
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Igor Fedotenkov A review of more than one hundred Pareto-tail index estimators, Statistica, Volume 80 (2020) no. 3, pp. 245-299 | DOI:10.6092/issn.1973-2201/9533 | Zbl:1552.62065
Mofei Jia; Emanuele Taufer; Maria Michela Dickson Semi-parametric regression estimation of the tail index, Electronic Journal of Statistics, Volume 12 (2018) no. 1, pp. 224-248 | DOI:10.1214/18-ejs1394 | Zbl:1387.62068
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Tucker McElroy; Dimitris N. Politis Moment-based tail index estimation, Journal of Statistical Planning and Inference, Volume 137 (2007) no. 4, pp. 1389-1406 | DOI:10.1016/j.jspi.2006.04.002 | Zbl:1107.62039
Tucker McElroy; Dimitris N. Politis Computer-intensive rate estimation, diverging statistics and scanning, The Annals of Statistics, Volume 35 (2007) no. 4, pp. 1827-1848 | DOI:10.1214/009053607000000064 | Zbl:1209.62050

Cité par 9 documents. Sources : Crossref, zbMATH

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