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Tail index estimation based on linear combinations of intermediate order statistics

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  • L. Viharos

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.

Suggested Citation

  • L. Viharos, 1997. "Tail index estimation based on linear combinations of intermediate order statistics," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 51(2), pages 164-177, July.
    • Handle: RePEc:bla:stanee:v:51:y:1997:i:2:p:164-177
    DOI: 10.1111/1467-9574.00048
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    Cited by:

    1. Li, Zhouping & Gong, Yun & Peng, Liang, 2010. "Empirical likelihood method for intermediate quantiles," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 1022-1029, June.

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