2004 | OriginalPaper | Buchkapitel
Estimates of the Tail Index Based on Nonparametric Tests
verfasst von : J. Jurečková, J. Picek
Erschienen in: Theory and Applications of Recent Robust Methods
Verlag: Birkhäuser Basel
Enthalten in: Professional Book Archive
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The authors recently constructed several nonparametric tests of one-sided hypotheses on the value of the Pareto-type tail index in the family of distributions with nondegenerate right tails. Inverting the tests in the Hodges-Lehmann manner (Hodges and Lehmann, 1963), we obtain strongly consistent estimators of m. The simulation study demonstrates surprisingly good approximations of m, namely by two of the three proposed estimators.