Tail index estimation based on linear combinations of intermediate order statistics |
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| Authors: | L. Viharos |
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| Affiliation: | Bolyai Institute, University of Szeged, Aradi vértanúk tere 1, 6720 Szeged, Hungary |
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| Abstract: | Based on linear combinations of intermediate order statistics, we introduce a new class of estimators for the exponent of a distribution function F with a regularly varying upper tail. We prove asymptotic normality and we make a comparison with existing proposals using the mean squared error as criterion. |
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| Keywords: | Intermediate order statistics extreme-value theory parameter estimation |
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