On Some Simple Estimates of an Exponent of Regular Variation
- 1 September 1982
- journal article
- research article
- Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
- Vol. 44 (1) , 37-42
- https://doi.org/10.1111/j.2517-6161.1982.tb01183.x
Abstract
Summary: We present a class of simple estimates of an exponent of regular variation. Unlike those proposed recently by de Haan and Resnick (1980), ours converge at an algebraic rather than a logarithmic rate, and unlike those considered by Teugels (1980), their form does not depend on the unknown exponent.This publication has 3 references indexed in Scilit:
- A Simple Asymptotic Estimate for the Index of a Stable DistributionJournal of the Royal Statistical Society Series B: Statistical Methodology, 1980
- On central limit and iterated logarithm supplements to the martingale convergence theoremJournal of Applied Probability, 1977
- A Simple General Approach to Inference About the Tail of a DistributionThe Annals of Statistics, 1975