Beran, Jan; Schell, Dieter; Stehlík, Milan - In: Annals of the Institute of Statistical Mathematics 66 (2014) 1, pp. 193-220
Asymptotic properties of the harmonic moment tail index Estimator are derived for distributions with regularly varying tails. The estimator shows good robustness properties and stands out for its simplicity. A tuning parameter allows for regulating the trade-off between robustness and...