On robust tail index estimation

DOI10.1016/J.CSDA.2010.05.028zbMath1255.62149OpenAlexW2055249811MaRDI QIDQ1927123

Dieter Schell, Jan Beran

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.05.028

zbMATH Keywords

Hill estimatorsmall samplesinfluence functionalhuberization

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32)

Related Items (11)

Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ Weak properties and robustness of t-Hill estimators ⋮ On robust tail index estimation for linear long-memory processes ⋮ Finite-sample performance of the T- and W-estimators for the Pareto tail index under data truncation and censoring ⋮ Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models ⋮ The harmonic moment tail index estimator: asymptotic distribution and robustness ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A simple generalisation of the Hill estimator ⋮ Special issue on robust analysis of complex data ⋮ Score function of distribution and revival of the moment method ⋮ A Beran-inspired estimator for the Weibull-type tail coefficient

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