Estimator of the Pareto Index Based on Nonparametric Test

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10050485" target="_blank" >RIV/00216208:11320/10:10050485 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Estimator of the Pareto Index Based on Nonparametric Test
Original language description
We study asymptotic properties of an estimator of the Pareto tail index, obtained by an inversion of a suitable nonparametric test of tails in the Hodges-Lehmann manner. The estimator is of semiparametric nature, involving an unknown slowly varying function; however, we do not impose any special condition on the latter function. The estimator is strongly consistent and asymptotically normal under mild conditions, with the standardization based on the asymptotic power of the test. Unless we impose some additional conditions on the model, the slowly varying function generally leads to an asymptotic bias. Possible improvements of the finite-sample properties of the estimator are discussed.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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