Weak properties and robustness of t-hill estimators

HIGHLIGHTS

• who: Pavlina Jordanova from the Faculty of Mathematics and Informatics, Shumen University, Universitetska Str115, Linz, Austria have published the Article: Weak properties and robustness of t-Hill estimators, in the Journal: (JOURNAL)
• what: The aim of this paper is to introduce a novel method of heavy tails estimation based on transformed score. The authors provide some examples showing that in contrast to the i.i.d. case the t-Hill and the Hill estimators applied to the moving average model are not robust with respect to large observations. Instead of implementing "The Hill estimator" procedure . . .
  

   

  

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