SERIES ( Statistics # 2007-2 ) Tail Index Estimation for Parametric Families Using Log Moments

Abstract

For heavy-tailed econometric data it is of interest to estimate the tail index, a parameter that measures the thickness of the tails of the marginal distribution. Common models for such distributions include Pareto and t distributions, and in other applications (such as hydrology) stable distributions are popular as well. This paper constructs square root n… (More)

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