Small sample estimation and testing for heavy tails
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F12%3A00183111" target="_blank" >RIV/62156489:43110/12:00183111 - isvavai.cz</a>
Alternative codes found
RIV/67985807:_____/12:00390574
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Small sample estimation and testing for heavy tails
Original language description
The aim of the paper is to introduce the distribution sensitive tail estimation procedure, which is easy to implement for various distributions. Here we construct distribution-sensitive estimators based on the Hills procedure using score moment estimators for other heavy-tailed distributions (Pareto, Fréchet, Burr, log-gama, inverse gamma, etc.), and to study their statistical properties, both theoretically (e.g consistency, asymptotical distribution) and by means of simulation experiments (e.g. comparisons of exact effectiveness of our method for different heavy tailed distributions). A specific problem is finding of an optimal threshold k, say, yielding a trade off in between of variance and bias of the Hill estimator. Simulation results by Embrechtset al. (1997) showed that the Hill estimator and its alternatives work well over large ranges of values for k in the case of Pareto distribution. However, Hill estimator is often giving wrong results for distributions different from the
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 58th World Statistics Congress of the International Statistical Institute
ISBN
978-90-73592-33-9
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
2985-2993
Publisher name
International Statistical Institute
Place of publication
The Hague
Event location
Dublin
Event date
Aug 21, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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