Estimation of a tail index based on minimum density power divergence |
| |
Authors: | Moosup Kim Sangyeol Lee |
| |
Institution: | aDepartment of Statistics, Seoul National University, Seoul, 151-742, Republic of Korea |
| |
Abstract: | In this paper, we consider the minimum density power divergence estimator for the tail index of heavy tailed distributions in strong mixing processes. It is shown that the estimator is consistent and asymptotically normal under regularity conditions. The simulation results demonstrate that the estimator is robust in the presence of outliers. |
| |
Keywords: | 62M10 62F12 |
本文献已被 ScienceDirect 等数据库收录! |
|