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Asymptotic normality of Hill Estimator for truncated data
heavy tails truncation second order regular variation
2010/12/9
The problem of estimating the tail index from truncated data is addressed in Chakrabarty and Samorodnitsky (2009). In that paper, a sample based (and hence random) choice of k is uggested,and it is sh...
DIRECT REDUCTION OF BIAS OF THE CLASSI-CAL HILL ESTIMATOR
Statistics of Extremes semi-parametric estimation bias estimation heavy tails
2009/2/26
In this paper we are interested in an adequate estimation of the dominant component
of the bias of Hill's estimator of a positive tail index °, in order to remove it from
the classical Hill estimato...