Asymptotic normality of location invariant heavy tail index estimator |
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Authors: | Jiaona Li Zuoxiang Peng Saralees Nadarajah |
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Institution: | (1) Department of Civil Engineering, Yonsei University, Sinchon-dong, Seodaemun-gu, Seoul, Korea;(2) School of Civil and Environmental Engineering, Yonsei University, Seoul, Korea |
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Abstract: | Motivated by Fraga Alves (Extremes 4:199–217, 2001)’s work, a new class of location invariant Hill-type estimators for the tail index of a heavy tailed distribution is proposed
in the paper. Its asymptotic behavior is derived, and the optimal choice of the sample fraction is discussed by mean squared
error. Asymptotic comparisons and simulation studies are presented to show that the new estimator performs well compared to
the known ones. |
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Keywords: | |
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