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Abstract Details
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Activity Number:
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620
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Type:
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Contributed
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Date/Time:
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Thursday, August 2, 2012 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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| Abstract - #304822 |
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Title:
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On a Simple Class of Robust Tail Index Estimators
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Author(s):
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Dieter Schell*+ and Jan Beran and Milan Stehlík
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Companies:
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University of Konstanz and University of Konstanz and Johannes Kepler University
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Address:
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Universitaetsstrasse 10, Konstanz, International, 78457, Germany
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Keywords:
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tail index ;
robustness
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Abstract:
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We consider a class of simple explicit estimators of the tail index related to the harmonic mean, as introduced in Henry (2009) and Stehlik et al. (2010,2011). Asymptotic properties are derived under general conditions. The results depend on a tuning parameter that also characterizes robustness properties, and parameters characterizing first and second order tail properties of the underlying distribution. The choice of the tuning parameter leads to a tradeoff between robustness and efficiency. Simulations illustrate these properties for finite samples.
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