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.
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Acknowledgments
We would like to thank a referee and the associate editor for their constructive remarks that led to an improved presentation of the results. This research has been supported by the DFG (grant BE 2123/10-1).
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Beran, J., Schell, D. & Stehlík, M. The harmonic moment tail index estimator: asymptotic distribution and robustness. Ann Inst Stat Math 66, 193–220 (2014). https://doi.org/10.1007/s10463-013-0412-2
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DOI: https://doi.org/10.1007/s10463-013-0412-2