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Seminar on Probability Theory and Mathematical Statistics
December 23, 2011 18:00, St. Petersburg, PDMI, room 311 (nab. r. Fontanki, 27)


Lower bounds to the accuracy of tail index estimation

S. Yu. Novak

Abstract: We deal with the problem of statistical inference on heavy-tailed distributions. We present non-uniform minimax lower bounds to the mean squared error (MSE) of tail index and extreme quantiles estimators. We show that the MSE of a robust estimator depends in a particular way on the sample size, the tail index and the tail constant, revealing the the natural normalising sequence.


© Steklov Math. Inst. of RAS, 2024