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SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS.
- Source :
-
Communications in Statistics: Simulation & Computation . Nov2001, Vol. 30 Issue 4, p949-962. 14p. 2 Charts. - Publication Year :
- 2001
-
Abstract
- Hill's estimator is a popular method for estimating the thickness of heavy tails. In this paper we modify Hill's estimator to make it shift-invariant as well as scale-invariant. The resulting shifted Hill's estimator is a more robust method of estimating tail thickness. [ABSTRACT FROM AUTHOR]
- Subjects :
- *HILL'S equation
*ORDER statistics
Subjects
Details
- Language :
- English
- ISSN :
- 03610918
- Volume :
- 30
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Simulation & Computation
- Publication Type :
- Academic Journal
- Accession number :
- 8741448
- Full Text :
- https://doi.org/10.1081/SAC-100107790