Estimation of the Tail Index of Pareto-Type Distributions Using Regularisation
In this paper, we introduce reduced-bias estimators for the estimation of the tail index of Pareto-type distributions. This is achieved through the use of a regularised weighted least squares with an exponential regression model for log-spacings of top-order statistics. The asymptotic properties of...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2022/5064875 |
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