Title of article
Estimation of a tail index based on minimum density power divergence
Author/Authors
Kim، نويسنده , , Moosup and Lee، نويسنده , , Sangyeol، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2008
Pages
19
From page
2453
To page
2471
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.
Keywords
62M10 , Tail index , Minimum density power divergence estimator , Robustness , Outliers , Strong mixing processes , 62F12
Journal title
Journal of Multivariate Analysis
Serial Year
2008
Journal title
Journal of Multivariate Analysis
Record number
1559072
Link To Document