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Once more on comparison of tail index estimators

Authors :
Paulauskas, Vygantas
Vaičiulis, Marijus
Publication Year :
2011

Abstract

We consider heavy-tailed distributions and compare the well-known estimators of the tail index, based on extreme value theory with a comparatively recent estimator based on a different idea.<br />Comment: 22 pages, 6 figures

Subjects

Subjects :
Mathematics - Probability
Mathematics - Statistics Theory

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1104.1242
Document Type :
Working Paper

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