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math.ST2020
Regression estimators for the tail index
Amenah AL-Najafi, László Viharos
We propose a class of weighted least squares estimators for the tail index of a distribution function with a regularly varying upper tail. Our approach is based on the method devel…
math.ST2020
Weighted least squares estimators for the Parzen tail index
Amenah AL-Najafi, László Viharos
Estimation of the tail index of heavy-tailed distributions and its applications are essential in many research areas. We propose a class of weighted least squares (WLS) estimators…