On the accuracy of inference on heavy-tailed distributions
Article
Novak, S. 2013. On the accuracy of inference on heavy-tailed distributions. Theory of Probability and Its Applications. 58 (3), pp. 509-518. https://doi.org/10.1137/S0040585X97986710
Type | Article |
---|---|
Title | On the accuracy of inference on heavy-tailed distributions |
Authors | Novak, S. |
Abstract | This paper suggests a simple method of deriving nonparametric lower bounds of the accuracy of statistical inference on heavy-tailed distributions. We present lower bounds of the mean squared error of the tail index, the tail constant, and extreme quantiles estimators. The results show that the normalizing sequences of robust estimators must depend in a specific way on the tail index and the tail constant. |
Publisher | Society for Industrial and Applied Mathematics |
Journal | Theory of Probability and Its Applications |
ISSN | 0040-585X |
Publication dates | |
2013 | |
Publication process dates | |
Deposited | 14 Oct 2015 |
Accepted | 01 Jan 2013 |
Output status | Published |
Accepted author manuscript | |
Copyright Statement | Published in Theory of Probability & Its Applications in Volume 58, Issue 3, published by the Society of Industrial and Applied Mathematics (SIAM). Copyright © 2014 Society of Industrial and Applied Mathematics. |
Additional information | Published online: 16 September 2014 |
Digital Object Identifier (DOI) | https://doi.org/10.1137/S0040585X97986710 |
Language | English |
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