WEAK LIMITING BEHAVIOR OF A SIMPLE TAIL PARETO-INDEX ESTIMATOR

• Type: Article in International Scientific Journal
• Date: 1995

Authors

BACRO, JN (Author) Other; BRITO, M (Author) FCUP

Journal

Title: Journal of Statistical Planning and Inference

Vol. 45

Pages: 7-19

ISSN: 0378-3758

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 9 Citations

Scopus - 9 Citations

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-001-GZ3

DOI: 10.1016/0378-3758(94)00060-3

Abstract (EN): We investigate the weak asymptotic properties of a simple estimator of the exponent of a distribution with regularly varying upper tail. It is shown that this estimator is asymptotically normal if the underlying distribution function satisfies some general conditions. These basic conditions are then simplified under appropriate assumptions on the tail of the distribution.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 13