Revisiting the role of the jackknife methodology in the estimation of a positive tail index
In this article, and in a context of regularly varying tails, we analyze a generalization of the classical Hill estimator of a positive tail index. The members of this general class of estimators are not asymptotically more eficient than the original one, the Hill estimator. We thus propose a class...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10773/26677 |
| Country: | Portugal |
| Oai: | oai:ria.ua.pt:10773/26677 |