Estimation of a tail index based on minimum density power divergence

In this paper, we consider the minimum density power divergence estimator for the tail index of heavy tailed distributions in strong mixing processes. It is shown that the estimator is consistent and asymptotically normal under regularity conditions. The simulation results demonstrate that the estimator is robust in the presence of outliers.

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Year of publication:	2008
Authors:	Kim, Moosup ; Lee, Sangyeol
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 99.2008, 10, p. 2453-2471
Publisher:	Elsevier
Keywords:	62M10 62F12 Tail index Minimum density power divergence estimator Robustness Outliers Strong mixing processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152820