A simple estimator for the $\mathcal{M}$-index of functions in $\mathcal{M}$
Statistics Theory
2015-12-08 v2 Statistics Theory
Abstract
An estimator for the -index of functions of , a larger class than the class of regularly varying (RV) functions, is proposed. This index is the tail index of RV functions and this estimator is thus a new one on the class of RV functions. This estimator satisfies, assuming suitable conditions, strong consistency. Asymptotic normality of this estimator is proved for a large class of RV functions, showing a better performance than some well-known estimators. Illustrations with simulated and real life datasets are provided.
Keywords
Cite
@article{arxiv.1506.05750,
title = {A simple estimator for the $\mathcal{M}$-index of functions in $\mathcal{M}$},
author = {Meitner Cadena},
journal= {arXiv preprint arXiv:1506.05750},
year = {2015}
}