Once more on comparison of tail index estimators

Abstract

We consider heavy-tailed distributions and compare the well-known estimators of the tail index, based on extreme value theory with a comparatively recent estimator based on a different idea.

arXiv comment22 pages, 6 figures

References in corpus (1)

• A class of unbiased location invariant Hill-type estimators for heavy tailed distributions

Cited by in corpus (4)

• The Heavy-Tail Phenomenon in SGD
• On the Heavy-Tailed Theory of Stochastic Gradient Descent for Deep Neural Networks
• Several new tail index estimators
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