A new regression-based tail index estimator

• Autor(a) principal: Nicolau, João
• Data de Publicação: 2019
• Outros Autores: Rodrigues, Paulo M. M.
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• DOI: 10.1162/rest_a_00768
• Texto Completo: https://doi.org/10.1162/rest_a_00768

A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it continues to perform satisfactorily; and fourth, it performs well under dependence of unknown form. An approach to compute the asymptotic variance under time dependence and conditional heteroskcedasticity is also provided.