Estimation of the tail index for lattice-valued sequences
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Estimation of the tail index for lattice-valued sequences. / Matsui, Muneya; Mikosch, Thomas Valentin; Tafakori, Laleh.
I: Extremes, Bind 16, 2013, s. 429-455.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Estimation of the tail index for lattice-valued sequences
AU - Matsui, Muneya
AU - Mikosch, Thomas Valentin
AU - Tafakori, Laleh
PY - 2013
Y1 - 2013
N2 - If one applies the Hill, Pickands or Dekkers–Einmahl–de Haan estimatorsof the tail index of a distribution to data which are rounded off one often observes thatthese estimators oscillate strongly as a function of the number k of order statisticsinvolved.We study this phenomenon in the case of a Pareto distribution. We provideformulas for the expected value and variance of the Hill estimator and give bounds onk when the central limit theorem is still applicable. We illustrate the theory by usingsimulated and real-life data.
AB - If one applies the Hill, Pickands or Dekkers–Einmahl–de Haan estimatorsof the tail index of a distribution to data which are rounded off one often observes thatthese estimators oscillate strongly as a function of the number k of order statisticsinvolved.We study this phenomenon in the case of a Pareto distribution. We provideformulas for the expected value and variance of the Hill estimator and give bounds onk when the central limit theorem is still applicable. We illustrate the theory by usingsimulated and real-life data.
U2 - 10.1007/s10687-012-0167-9
DO - 10.1007/s10687-012-0167-9
M3 - Journal article
VL - 16
SP - 429
EP - 455
JO - Extremes
JF - Extremes
SN - 1386-1999
ER -
ID: 94843770