Truncated Estimation of Ratio Statistics with Application to Heavy Tail Distributions |
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Authors: | D N Politis V A Vasiliev S E Vorobeychikov |
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Institution: | 1.Dept. Math.,Univ. of California,San Diego,USA;2.Dept. Appl.Math. and Cybern.,Tomsk State University,Tomsk,Russia |
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Abstract: | The problem of estimation of the heavy tail index is revisited from the point of view of truncated estimation. A class of novel estimators is introduced having guaranteed accuracy based on a sample of fixed size. The performance of these estimators is quantified both theoretically and in simulations over a host of relevant examples. It is also shown that in several cases the proposed estimators attain — within a logarithmic factor — the optimal parametric rate of convergence. The property of uniform asymptotic normality of the proposed estimators is established. |
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