Abstract
We study a new estimator for the tail index of a distribution in the Fréchet domain of attraction that arises naturally by computing subsample maxima. This estimator is equivalent to taking a U -statistic over a Hill estimator with two order statistics. The estimator presents multiple advantages over the Hill estimator. In particular, it has asymptotically C ∞ sample paths as a function of the threshold k , making it considerably more stable than the Hill estimator. The estimator also admits a simple and intuitive threshold selection rule that does not require fitting a second-order model.
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 callDisclaimer: 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.
