Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147250 | Journal of Multivariate Analysis | 2008 | 19 Pages |
Abstract
In this paper, we consider the minimum density power divergence estimator for the tail index of heavy tailed distributions in strong mixing processes. It is shown that the estimator is consistent and asymptotically normal under regularity conditions. The simulation results demonstrate that the estimator is robust in the presence of outliers.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Moosup Kim, Sangyeol Lee,