Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation
AbstractWe use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the method is not conditional on an initial consistent estimate of the tailindex; and the ratio of the first and second order tail indices is left unrestricted, but we require the ratio to be strictlypositive. Hence the current method yields a complete solution to tail index estimation as it is not predicated on a more orless arbitrary choice of the number of highest order statistics.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 97-016/4.
Date of creation: 30 Jan 1997
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Tail index; Bootstrap; Bias; Mean squared error;
Other versions of this item:
- Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001. "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 226-248, February.
- Danielsson, J. & Haan, L.F.M. de & Peng, L. & Vries, C.G. de, 2000. "Using a bootstrap method to choose the sample fraction in tail index estimation," Econometric Institute Report EI 2000-19/A, Erasmus University Rotterdam, Econometric Institute.
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