A New Estimator for a Tail Index |
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| Authors: | V Paulauskas |
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| Institution: | (1) Department of Mathematics and Informatics, Vilnius University and Institute of Mathematics and Informatics, Akademijos 4, LT-2021 Vilnius, Lithuania |
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| Abstract: | We investigate properties of a new estimator for a tail index introduced by Davydov and co-workers. The main advantage of this estimator is the simplicity of the statistic used for the estimator. We provide results of simulation by comparing plots of our's and Hill's estimators. |
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| Keywords: | tail index estimation |
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