Beran, Jan; Schell, Dieter - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3430-3443
A new approach to tail index estimation based on huberization of the Pareto MLE is considered. The proposed estimator is robust in a nonstandard way in that it protects against deviations from the central model at low quantiles. Asymptotic normality with the parametric n-rate of convergence is...