SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS
- 1 January 2001
- journal article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 30 (4) , 949-962
- https://doi.org/10.1081/sac-100107790
Abstract
Hill's estimator is a popular method for estimating the thick- ness of heavy tails. In this paper we modify Hill's estimator to make it shift-invariant as well as scale-invariant. The resulting shifted Hill's estimator is a more robust method of estimating tail thickness.Keywords
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