The harmonic moment tail index estimator: asymptotic distribution and robustness

Asymptotic properties of the harmonic moment tail index Estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and efficiency. Small sample properties are illustrated by a simulation study. Copyright The Institute of Statistical Mathematics, Tokyo 2014

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Year of publication:	2014
Authors:	Beran, Jan ; Schell, Dieter ; Stehlík, Milan
Published in:	Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 66.2014, 1, p. 193-220
Publisher:	Springer
Subject:	Tail index estimation \| Regularly varying tail \| Hill estimator \| Robustness \| Asymptotic distribution

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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