1996
The method of moments ratio estimator for the tail shape parameter
Publication
Publication
Communications in Statistics: Theory and Methods p. 711- 720
The so-called Hill estimator for the shape parameter of the tail distribution is known to be downwardly biased. The Hill estimator is a moment estimator, based on the first conditional moment of the highest logarithmically transformed data. We propose a new estimator for the tail index based on the ratio of the second to the first conditional moment. This estimator has a smaller bias than the Hill estimator. We provide simulation results that demonstrate a sizable reduction in bias when a is large, while the MSE is moderated as well. The new estimator is applied to stock return data in order to resolve a long standing issue in economics.
| Additional Metadata | |
|---|---|
| , , | |
| doi.org/10.1080/03610929608831727, hdl.handle.net/1765/12408 | |
| Communications in Statistics: Theory and Methods | |
| Organisation | Erasmus School of Economics |
|
Daníelsson, J., & Jansen, D. (1996). The method of moments ratio estimator for the tail shape parameter. Communications in Statistics: Theory and Methods, 711–720. doi:10.1080/03610929608831727 |
|
