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- W4287863344 abstract "Estimation of the tail index of heavy-tailed distributions and its applications are essential in many research areas. We propose a class of weighted least squares (WLS) estimators for the Parzen tail index. Our approach is based on the method developed by cite{Holan2010}. We investigate consistency and asymptotic normality of the WLS estimators. Through a simulation study, we make a comparison with the Hill, Pickands, DEdH (Dekkers, Einmahl and de Haan) and ordinary least squares (OLS) estimators using the mean square error as criterion. The results show that in a restricted model some members of the WLS estimators are competitive with the Pickands, DEdH and OLS estimators." @default.
- W4287863344 created "2022-07-26" @default.
- W4287863344 creator A5031447659 @default.
- W4287863344 creator A5090817804 @default.
- W4287863344 date "2020-02-28" @default.
- W4287863344 modified "2023-09-29" @default.
- W4287863344 title "Weighted least squares estimators for the Parzen tail index" @default.
- W4287863344 doi "https://doi.org/10.48550/arxiv.2002.12631" @default.
- W4287863344 hasPublicationYear "2020" @default.
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