An Estimator of Heavy Tail Index through the Generalized Jackknife Methodology
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-08-14
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
In practice, sometimes the data can be divided into several blocks but only a few of the largest observations within each block are available to estimate the heavy tail index.
To address this problem, we propose a new class of estimators through the Generalized Jackknife methodology based on Qi’s estimator (2010).
These estimators are proved to be asymptotically normal under suitable conditions.
Compared to Hill’s estimator and Qi’s estimator, our new estimator has better asymptotic efficiency in terms of the minimum mean squared error, for a wide range of the second order shape parameters.
For the finite samples, our new estimator still compares favorably to Hill’s estimator and Qi’s estimator, providing stable sample paths as a function of the number of dividing the sample into blocks, smaller estimation bias, and MSE.
American Psychological Association (APA)
Liu, Weiqi& Xing, Hongwei. 2014. An Estimator of Heavy Tail Index through the Generalized Jackknife Methodology. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-490527
Modern Language Association (MLA)
Liu, Weiqi& Xing, Hongwei. An Estimator of Heavy Tail Index through the Generalized Jackknife Methodology. Mathematical Problems in Engineering No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-490527
American Medical Association (AMA)
Liu, Weiqi& Xing, Hongwei. An Estimator of Heavy Tail Index through the Generalized Jackknife Methodology. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-490527
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-490527