Comptes Rendus
no. 3
A new approach on estimation of the tail index
[Une nouvelle méthode pour l'estimation de l'index d'une queue]
Dimitris N. Politis1
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.

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

[1] S. Csörgő; P. Deheuvels; D.M. Mason Kernel estimates of the tail index of a distribution, Ann. Statist., Volume 13 (1985), pp. 1050-1077

[2] S. Csörgő; L. Viharos Estimating the tail index (B. Szyszkowicz, ed.), Asymptotic Methods in Probability and Statistics, North-Holland, Amsterdam, 1998, pp. 833-881

[3] P. Embrechts; C. Klüppelberg; T. Mikosch Modelling Extremal Events, Springer, Berlin, 1997

[4] E. Giné; J. Zinn Necessary conditions for the bootstrap of the mean, Ann. Statist., Volume 17 (1990), pp. 684-691

[5] T. McElroy, D.N. Politis, Robust inference for the mean in the presence of serial correlation and heavy tailed distributions, Econometric Theory, 2002, forthcoming

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