Article1998

Comparison of tail index estimators

226 citations0/0 files storedStatistica Neerlandica

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

We compare various estimators for the index of distribution functions with regularly varying tails by calculating their asymptotic mean squared errors after choosing the optimal number of upper order statistics involved (which is different for different estimators).

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Cited by

2008On the tails of extreme event distributions in hydrology 1997Smoothing the Hill Estimator 2001The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction 2007Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses 2007A Sturdy Reduced-Bias Extreme Quantile ( VaR ) Estimator 2010A discussion on mean excess plots 2022Direct Reduction of Bias of the Classical Hill Estimator 1998Asymptotically unbiased estimators for the extreme-value index

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