December 7, 2012 ESTIMATION OF THE TAIL INDEX FOR LATTICE-VALUED SEQUENCES
نویسنده
چکیده
If one applies the Hill, Pickands or Dekkers-Einmahl-de Haan estimators of the tail index of a distribution to data which are rounded off one often observes that these estimators oscillate strongly as a function of the number k of order statistics involved. We study this phenomenon in the case of a Pareto distribution. We provide formulas for the expected value and variance of the Hill estimator and give bounds on k when the central limit theorem is still applicable. We illustrate the theory by using simulated and real-life data.
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تاریخ انتشار 2012