Estimating a Tail Exponent by Modelling Departure from a Pareto Distribution

Estimating a Tail Exponent by Modelling Departure from a Pareto Distribution

We suggest two semiparametric methods for accommodating departures from a Pareto model when estimating a tail exponent by fitting the model to extreme-value data. The methods are based on approximate likelihood and on least squares, respectively. The latter is somewhat simpler to use and more robust...

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Veröffentlicht in:The Annals of Statistics. - Institute of Mathematical Statistics. - 27(1999), 2, Seite 760-781
1. Verfasser: Feuerverger, Andrey (VerfasserIn)
Weitere Verfasser: Hall, Peter
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 1999
Zugriff auf das übergeordnete Werk:The Annals of Statistics
Schlagworte:Bias reduction Extreme-value theory Log-spacings Maximum likelihood Order statistics Peaks-over-threshold Regression Regular variation Spacings Zipf's law mehr... Mathematics Behavioral sciences
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520 |a We suggest two semiparametric methods for accommodating departures from a Pareto model when estimating a tail exponent by fitting the model to extreme-value data. The methods are based on approximate likelihood and on least squares, respectively. The latter is somewhat simpler to use and more robust against departures from classical extreme-value approximations, but produces estimators with approximately 64% greater variance when conventional extreme-value approximations are appropriate. Relative to the conventional assumption that the sampling population has exactly a Pareto distribution beyond a threshold, our methods reduce bias by an order of magnitude without inflating the order of variance. They are motivated by data on extrema of community sizes and are illustrated by an application in that context. 
540 |a Copyright 1999 The Institute of Mathematical Statistics 
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