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 :
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