Frederico Caeiro

Citation:

Caeiro, F., Gomes M. I., & Rodrigues L. H. (2009).  Reduced-bias tail index estimators under a third-order framework.. Commun. Stat., Theory Methods. 38, 1019-1040., Number 7

Abstract:

{Summary: We are interested in the comparison, under a third-order framework, of classes of second-order, reduced-bias tail index estimators, giving particular emphasis to minimum-variance reduced-bias estimators of the tail index $\gamma$. The full asymptotic distributional properties of the proposed classes are derived under a third-order framework and the estimators are compared with other alternatives, not only asymptotically, but also for finite samples through Monte Carlo techniques. An application to the log-exchange rates of the Euro against the USA Dollar is also provided.}

Notes:

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