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Comparison of tail index estimators
Author(s) -
De Haan L.,
Peng L.
Publication year - 1998
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/1467-9574.00068
Subject(s) - estimator , mathematics , statistics , index (typography) , mean squared error , asymptotic distribution , order statistic , computer science , world wide web
We compare various estimators for the index of distribution functions with regularly varying tails by calculating their asymptotic mean squared errors after choosing the optimal number of upper order statistics involved (which is different for different estimators).