Article ID Journal Published Year Pages File Type
1147250 Journal of Multivariate Analysis 2008 19 Pages PDF
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
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