SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS

Inmaculada Aban · Mark M. Meerschaert

30 citations0/0 files storedCommunications in Statistics - Simulation and Computation

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

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. †Partially supported by NSF-EAR grant 9980484.

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