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Estimation problems for distributions with heavy tails

✍ Scribed by Zhaozhi Fan

Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 320 KB
Volume: 123
Category: Article
ISSN: 0378-3758
DOI: 10.1016/s0378-3758(03)00142-3

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✦ Synopsis

We establish estimators for the tail index of heavy-tailed distributions. A large deviation principle is proved. An estimator with U-statistic structure is constructed and its asymptotic normality is established. An estimator based on re-sampling procedure is developed and this provides a possibility to simulate U-statistics in a simpler way. Simulation studies show the advantages of our estimators to the competitive ones.

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