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Abstract Details

Activity Number: 620
Type: Contributed
Date/Time: Thursday, August 2, 2012 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #304822
Title: On a Simple Class of Robust Tail Index Estimators
Author(s): Dieter Schell*+ and Jan Beran and Milan StehlĂ­k
Companies: University of Konstanz and University of Konstanz and Johannes Kepler University
Address: Universitaetsstrasse 10, Konstanz, International, 78457, Germany
Keywords: tail index ; robustness

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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