no. 3
A new approach on estimation of the tail index
[Une nouvelle méthode pour l'estimation de l'index d'une queue]
Politis, Dimitris N.1
1 Department of Mathematics, University of California–San Diego, La Jolla, CA 92093, USA
Comptes Rendus. Mathématique, Tome 335 (2002) no. 3, pp. 279-282.

Une nouvelle méthode est proposée pour l'estimation de l'index d'une queue de distribution. Elle est basée sur l'étude de statistiques divergentes. Les estimateurs résultants sont simples à construire et peuvent être utilisés pour résoudre d'autres problèmes d'estimation.

A new approach on tail index estimation is proposed based on studying the in-sample evolution of appropriately chosen diverging statistics. The resulting estimators are simple to construct, and they can be generalized to address other rate estimation problems as well.

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DOI : 10.1016/S1631-073X(02)02450-0
Politis, Dimitris N. 1

1 Department of Mathematics, University of California–San Diego, La Jolla, CA 92093, USA 
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Politis, Dimitris N. A new approach on estimation of the tail index. Comptes Rendus. Mathématique, Tome 335 (2002) no. 3, pp. 279-282. doi : 10.1016/S1631-073X(02)02450-0. http://www.numdam.org/articles/10.1016/S1631-073X(02)02450-0/

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[2] Csörgő, S.; Viharos, L. Estimating the tail index (Szyszkowicz, B., ed.), Asymptotic Methods in Probability and Statistics, North-Holland, Amsterdam, 1998, pp. 833-881

[3] Embrechts, P.; Klüppelberg, C.; Mikosch, T. Modelling Extremal Events, Springer, Berlin, 1997

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[5] T. McElroy, D.N. Politis, Robust inference for the mean in the presence of serial correlation and heavy tailed distributions, Econometric Theory, 2002, forthcoming

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