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Abstract We introduce a completely novel method for estimation of the parameter which governs the tail behavior of the cumulative distribution function of the observed random variable. We call it… Click to show full abstract
Abstract We introduce a completely novel method for estimation of the parameter which governs the tail behavior of the cumulative distribution function of the observed random variable. We call it Inverse Probabilities for p-Outside values (IPO) estimation method. We show that this approach is applicable for wider class of distributions than the one with regularly varying tails. We demonstrate that IPO method is a valuable competitor to regularly varying tails based estimation methods. Some of the properties of the estimators are derived. The results are illustrated by a convenient simulation study.
Journal Title: Stochastic Analysis and Applications
Year Published: 2019
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