Estimation of the tail index for lattice-valued sequences

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書誌事項

公開日
2013-02-03
資源種別
journal article
権利情報
  • http://www.springer.com/tdm
DOI
  • 10.1007/s10687-012-0167-9
公開者
Springer Science and Business Media LLC

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説明

If one applies the Hill, Pickands or Dekkers–Einmahl–de Haan estimators of the tail index of a distribution to data which are rounded off one often observes that these estimators oscillate strongly as a function of the number k of order statistics involved. We study this phenomenon in the case of a Pareto distribution. We provide formulas for the expected value and variance of the Hill estimator and give bounds on k when the central limit theorem is still applicable. We illustrate the theory by using simulated and real-life data.

収録刊行物

  • Extremes

    Extremes 16 (4), 429-455, 2013-02-03

    Springer Science and Business Media LLC

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