Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
重尾模型的尾指数估计：加权对数超额中的偏差处理
Summary We are interested in the derivation of the distributional properties of a weighted log-excesses estimator of a positive tail index γ. One of the main objectives of such an estimator is the accommodation of the dominant component of asymptotic bias, together with the maintenance of the asymptotic variance of the maximum likelihood estimator of γ, under a strict Pareto model. We consider the external estimation not only of a second-order shape parameter ρ but also of a…