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Asymptotic Expansions of Estimators for the Tail Index with Applications
Author(s) -
Cheng Shihong,
Pan Jiazhu
Publication year - 1998
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00131
Subject(s) - estimator , mathematics , asymptotic distribution , index (typography) , statistics , extremum estimator , asymptotic analysis , m estimator , world wide web , computer science
We present asymptotic expansions for two well‐known estimators of the tail index of a distribution—the Hill's estimator and the simplified Pickands' estimator. We then use the expansions to get more accurate interval estimates. Comparisons between the two estimators are also discussed.