Fat tail distributions and local thin tail alternatives
January 1996
Article
pp 705-710.
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The behaviour of the Hill estimator for the tail index of fat tailed distributions in the presence of local alternatives which have a thin tail is investigated. The converse problem is also briefly addressed. A local thin tail alternative can severely bias the Hill statistic. The relevance of this issue for the class of stable distributions is discussed. We conduct a small simulation study to support the analysis. In the conclusion it is argued that for moderate out of sample quantile analysis the problem of local alternatives may be less pressing.
Keywords
Automatically Extracted Terms
- dutch library consortium
- alternative
- dekker titles
- tailed
- statistic
- hill statistic
- distribution
- dekker
- title
- library
- downloaded
- consortium
- tailed df
- study
- problem
- hill estimator
- dutch
- section
- function
- class
