The harmonic moment tail index estimator: asymptotic distribution and robustness. (English) Zbl 1281.62123
Summary: Asymptotic properties of the harmonic moment tail index estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and efficiency. Small sample properties are illustrated by a simulation study.
MSC:
| 62G32 | Statistics of extreme values; tail inference |
| 62E20 | Asymptotic distribution theory in statistics |
| 62G35 | Nonparametric robustness |
| 65C60 | Computational problems in statistics (MSC2010) |
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