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Limiting behaviour of a geometric-type estimator for tail indices

Title
Limiting behaviour of a geometric-type estimator for tail indices
Type
Article in International Scientific Journal
Year
2003
Authors
Brito, M
(Author)
FCUP
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Freitas, ACM
(Author)
FEP
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Journal
Vol. 33
Pages: 211-226
ISSN: 0167-6687
Indexing
Publicação em ISI Web of Science ISI Web of Science
Econlit
Scientific classification
FOS: Natural sciences > Mathematics
Other information
Authenticus ID: P-000-ESQ
Abstract (EN): We propose a consistent estimator for the exponential tail coefficient of a d.f., that is directly related to least squares estimators of Schultze and Steinebach [Statist. Decis. 14 (1996) 353]. We investigate here the weak asymptotic properties of this geometric-type estimator, showing in particular that, under general conditions, its distribution is asymptotically normal. The results are then applied to the related problem of estimating the adjustment coefficient in risk theory [Insur.: Math. Econ. 10 (1991) 37]. A simulation study is performed in order to illustrate the finite sample behaviour of the proposed estimator.
Language: English
Type (Professor's evaluation): Scientific
No. of pages: 16
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