Shifted hill's estimator for heavy tails

Academic Article

Abstract

  • Hill's estimator is a popular method for estimating the thickness of heavy tails. In this paper we modify Hill's estimator to make it shift-invariant as well as scale-invariant. The resulting shifted Hill's estimator is a more robust method of estimating tail thickness. Copyright © 2001 by Marcel Dekker. Inc.
  • Digital Object Identifier (doi)

    Author List

  • Aban IB; Meerschaert MM
  • Start Page

  • 949
  • End Page

  • 962
  • Volume

  • 30
  • Issue

  • 4