Email this article A Class of Semiparametric Tail Index Estimators and Its Applications
- Authors: Vaičiulis M.1, Markovich N.M.2
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Affiliations:
- Vilnius University
- Trapeznikov Institute of Control Sciences
- Issue: Vol 80, No 10 (2019)
- Pages: 1803-1816
- Section: Topical Issue
- URL: https://journal-vniispk.ru/0005-1179/article/view/151186
- DOI: https://doi.org/10.1134/S0005117919100035
- ID: 151186
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Abstract
A new class of semiparametric estimators of the tail index is proposed. These estimators are based on a rather general class of semiparametric statistics. Their asymptotic normality is proved. The new estimators are compared with several other recently introduced estimators of the tail index in terms of the asymptotic mean-square error. An algorithm to calculate the new estimators is developed and then applied to several real data sets.
About the authors
M. Vaičiulis
Vilnius University
Author for correspondence.
Email: marijus.vaiciulis@mii.vu.lt
Lithuania, Vilnius
N. M. Markovich
Trapeznikov Institute of Control Sciences
Email: marijus.vaiciulis@mii.vu.lt
Russian Federation, Moscow
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