Pareto Tail Index Estimation Revisited

DOI10.1080/10920277.2006.10596236zbMath1478.62073OpenAlexW2032856803MaRDI QIDQ5018702

Jerry Alan Veeh, Howard G. Tucker, Mark Finkelstein

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2006.10596236

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (10)

On the identification of extreme outliers and dragon-kings mechanisms in the upper tail of income distribution ⋮ Measuring income inequality: a robust semi-parametric approach ⋮ A robust semi-parametric approach for measuring income inequality in Malaysia ⋮ A robust and efficient estimator for the tail index of inverse Pareto distribution ⋮ Weak properties and robustness of t-Hill estimators ⋮ On robust tail index estimation ⋮ Finite-sample performance of the T- and W-estimators for the Pareto tail index under data truncation and censoring ⋮ The harmonic moment tail index estimator: asymptotic distribution and robustness ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data

Cites Work

• Unnamed Item
• Robust methods for personal‐income distribution models
• Conservative confidence intervals for a single parameter
• Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
• “Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution,” Vytaras Brazauskas and Robert Serfling, October 2000.
• Robust Statistics

This page was built for publication: Pareto Tail Index Estimation Revisited