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

Download paper here