Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145744 | Journal of Multivariate Analysis | 2014 | 19 Pages |
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 UU-statistic over a Hill estimator with two order statistics. The estimator presents multiple advantages over the Hill estimator. In particular, it has asymptotically C∞C∞ sample paths as a function of the threshold kk, 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Stefan Wager,