A bias-reduced estimator for the mean of a heavy-tailed distribution with an infinite second moment

DOI10.1016/J.JSPI.2012.12.010zbMath1428.62196arXiv1201.1578OpenAlexW2020732228MaRDI QIDQ1948171

Djamel Meraghni, Abdelhakim Necir, Brahim Brahimi, Djabrane Yahia

Publication date: 2 May 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.1578

zbMATH Keywords

bias reductionextreme valuesregular variationheavy-tailed distributionsmeantail indexHill estimatort-Hill estimatorpeng estimator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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Tail product-limit process for truncated data with application to extreme value index estimation ⋮ Generalized Cauchy model of sea level fluctuations with long-range dependence ⋮ Estimating the Mean of Heavy-tailed Distribution under Random Truncation ⋮ Unnamed Item ⋮ New estimators of the extreme value index under random right censoring, for heavy-tailed distributions ⋮ Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring

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