Abstract
In the paper, we propose a new idea in the tail-index estimation. This idea allows us to improve the asymptotic performance of the classical Hill estimator and other most popular estimators over the range of the parameters present in the second-order regular-variation condition. We prove the asymptotic normality of the introduced estimators and provide a comparison (using the asymptotic mean-squared error) with other estimators of the tail index.
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Paulauskas, V., Vaičiulis, M. On an improvement of Hill and some other estimators. Lith Math J 53, 336–355 (2013). https://doi.org/10.1007/s10986-013-9212-x
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DOI: https://doi.org/10.1007/s10986-013-9212-x