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The harmonic moment tail index estimator: asymptotic distribution and robustness |
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| Authors: | Jan Beran Dieter Schell Milan Stehlík |
| Affiliation: | 1. Department of Mathematics and Statistics, University of Konstanz, Universit?tsstr. 10, 78457, Konstanz, Germany 2. Institute of Applied Statistics, Johannes Keppler University, Altenbergerstr. 69, 4040, Linz, Austria |
| Abstract: | Asymptotic properties of the harmonic moment tail index Estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and efficiency. Small sample properties are illustrated by a simulation study. |
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