# Dual Divergences Estimators of the Tail Index

Published in International Scholarly Research Network, ISRN Probability and Statistics, 2012

### S. Bouzebda and M. Cherfi

The main purpose of the present paper is to propose a new estimator of the tail index using $\phi$-divergences and the duality technique. These estimators are explored with respect to robustness through the influence function approach. The empirical performances of the proposed estimators are illustrated by simulation