Number of the records: 1
Small sample estimation and testing for heavy tails
- 1.
SYSNO ASEP 0390574 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Small sample estimation and testing for heavy tails Author(s) Fabián, Zdeněk (UIVT-O) SAI, RID
Stehlík, M. (AT)
Střelec, L. (CZ)Source Title Proceedings of the 58th World Statistics Congress 2011. - The Hague : International Statistical Institute, 2012 - ISBN 978-90-73592-33-9 Pages s. 2985-2993 Number of pages 9 s. Publication form Online - E Action ISI 2011. Session of the International Statistical Institute /58./ Event date 21.08.2011-26.08.2011 VEvent location Dublin Country IE - Ireland Event type WRD Language eng - English Country NL - Netherlands Keywords Hill estimator ; heavy tail estimation ; robustness ; testing Subject RIV BB - Applied Statistics, Operational Research CEZ AV0Z10300504 - UIVT-O (2005-2011) Annotation The aim of the paper is to introduce the distribution sensitive tail estimation procedure, which is easy to implement for various distributions. Here we construct distribution-sensitive estimators based on the Hills procedure using score moment estimators for other heavy-tailed distributions (Pareto, Fréchet, Burr, log-gama, inverse gamma, etc.), and to study their statistical properties, both theoretically (e.g consistency, asymptotical distribution) and by means of simulation experiments (e.g. comparisons of exact effectiveness of our method for different heavy tailed distributions). A specific problem is finding of an optimal threshold k, say, yielding a trade off in between of variance and bias of the Hill estimator. Simulation results by Embrechts et al. (1997) showed that the Hill estimator and its alternatives work well over large ranges of values for k in the case of Pareto distribution. However, Hill estimator is often giving wrong results for distributions different from the Pareto one. Their "Hill horror plots" actually show deviations of the Hill estimates trending farther away from the true value of the tail index as k is increased. In this paper we illustrate t-Hill. We also quantify the robustness and compare efficiency with other competitors. The paper is organized as follows. First section is introduction. In section 2 we recall the theory of scalar score. In section 3 we discussed the t-Hill estimator, introduced firstly in Stehlík et al. (2011). The section 4 comparing t-Hill and Hill estimators follows. Therein contamination of underling data is controlled by means of score variance of Pareto distribution. Comparisons show that t-Hill estimator outperforms Hill estimator. In section 5 we introduce the t-Hill plot. We end with powers of selected tests for normality against Pareto distribution. Workplace Institute of Computer Science Contact Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Year of Publishing 2013 Electronic address http://2011.isiproceedings.org/papers/650188.pdf
Number of the records: 1