An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
نویسندگان
چکیده
منابع مشابه
An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
We introduce a robust and asymptotically unbiased estimator for the tail index of Pareto-type distributions. The estimator is obtained by fitting the extended Pareto distribution to the relative excesses over a high threshold with the minimum density power divergence criterion. Consistency and asymptotic normality of the estimator is established under a second order condition on the distributio...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2013
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2013.06.011