Author(s): Nicolau, João ; Rodrigues, Paulo M. M.
Date: 2019
Persistent ID: http://hdl.handle.net/10400.5/27504
Origin: Repositório da Universidade de Lisboa
Subject(s): Regression-based Approach; Pareto-type Model; Monte Carlo Simulation; Heteroskcedasticity
A new regression-based approach for the estimation of the tail index of heavy-tailed distributions with several important properties is introduced. First, it provides a bias reduction when compared to available regression-based methods; second, it is resilient to the choice of the tail length used for the estimation of the tail index; third, when the effect of the slowly varying function at infinity of the Pareto distribution vanishes slowly, it continues to perform satisfactorily; and fourth, it performs well under dependence of unknown form. An approach to compute the asymptotic variance under time dependence and conditional heteroskcedasticity is also provided.
