On the tail index of a heavy tailed distribution |
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Authors: | Yongcheng Qi |
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Institution: | 1.Department of Mathematics and Statistics,University of Minnesota Duluth,Duluth,USA |
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Abstract: | This paper proposes some new estimators for the tail index of a heavy tailed distribution when only a few largest values are
observed within blocks. These estimators are proved to be asymptotically normal under suitable conditions, and their Edgeworth
expansions are obtained. Empirical likelihood method is also employed to construct confidence intervals for the tail index.
The comparison for the confidence intervals based on the normal approximation and the empirical likelihood method is made
in terms of coverage probability and length of the confidence intervals. The simulation study shows that the empirical likelihood
method outperforms the normal approximation method. |
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Keywords: | |
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