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.