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Performance Analysis with Truncated Heavy-Tailed Distributions

✍ Scribed by Søren Asmussen; Mats Pihlsgård


Publisher
Springer US
Year
2005
Tongue
English
Weight
658 KB
Volume
7
Category
Article
ISSN
1387-5841

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✍ Zhaozhi Fan 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 320 KB

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 possibilit

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