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A simple robust estimation method for the thickness of heavy tails

✍ Scribed by Mark M. Meerschaert; Hans-Peter Scheffler

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
154 KB
Volume
71
Category
Article
ISSN
0378-3758

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✦ Synopsis

We present a simple general method for estimating the thickness of heavy tails based on the asymptotics of the sum. The method works for dependent data, and only requires that the centered and normalized partial sums are stochastically compact. For data in the domain of attraction of a stable law our estimator is asymptotically log stable, consistent and asymptotically unbiased, and converges in the mean-square sense to the index of regular variation.

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