Abstract

In this paper, for heavy-tailed models, and working with the sample of the k largest observations, we present probability weighted moments (PWM) estimators for the first order tail parameters. Under regular variation conditions on the right-tail of the underlying distribution function F we prove the consistency and asymptotic normality of these estimators. Their performance, for finite sample sizes, is illustrated through a small-scale Monte Carlo simulation.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.