The harmonic moment tail index estimator: asymptotic distribution and robustness

Asymptotic properties of the harmonic moment tail index Estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and efficiency. Sm...

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Bibliographic Details
Published in:Annals of the Institute of Statistical Mathematics 2014-02, Vol.66 (1), p.193-220
Main Authors: Beran, Jan, Schell, Dieter, Stehlík, Milan
Format: Article
Language:English
Subjects:
Analysis
Asymptotic methods
Asymptotic properties
Computational efficiency
Economics
Estimating techniques
Estimators
Finance
Harmonics
Insurance
Management
Mathematical analysis
Mathematics
Mathematics and Statistics
Normal distribution
Random variables
Robustness
Simulation
Statistics
Statistics for Business
Studies
Tradeoffs
Tuning
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Description
Summary:Asymptotic properties of the harmonic moment tail index Estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and efficiency. Small sample properties are illustrated by a simulation study.
ISSN:0020-3157
1572-9052
DOI:10.1007/s10463-013-0412-2