Year: 2022
Type: preprint
Abstract: This article proposes a new method of truncated estimation to estimate the tail index $α$ of the extremely heavy-tailed distribution with infinite mean or variance. We not only present two truncated estimators $\hatα$ and $\hatα^{\prime}$ for estimating $α$ ($0<α\leq 1$) and $α$ ($1<α\leq 2$) respectively, but also prove their asymptotic statistical properties. The numerical simulation results comparing the six known estimators in estimating error, the Type I Error and the power of estimator show that the performance of the two new truncated estimators is quite good on the whole.
Source: arXiv (Cornell University)
Authors: Tang, F. Q., Han, D.
Institution: Shanghai Jiao Tong University
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
Award: G672148494
OpenAlex ID: W4295690189