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Estimating the mean of a heavy tailed distribution

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  • Peng, Liang

Abstract

For the estimation of the mean of a heavy tailed distribution with tail index -[alpha] 1.

Suggested Citation

  • Peng, Liang, 2001. "Estimating the mean of a heavy tailed distribution," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 255-264, April.
    • Handle: RePEc:eee:stapro:v:52:y:2001:i:3:p:255-264
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    References listed on IDEAS

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    1. Peter Hall & Raoul LePage, 1996. "On bootstrap estimation of the distribution of the studentized mean," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(3), pages 403-421, September.
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    Cited by:

    1. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
    2. Liu, Qing & Peng, Liang & Wang, Xing, 2017. "Haezendonck–Goovaerts risk measure with a heavy tailed loss," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 28-47.
    3. M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.
    4. Abdelhakim Necir, 2006. "A Nonparametric Sequential Test with Power 1 for the Mean of Lévy-stable Laws with Infinite Variance," Methodology and Computing in Applied Probability, Springer, vol. 8(3), pages 321-343, September.
    5. Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas, 2011. "Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 325-334.
    6. Ainura Tursunalieva & Param Silvapulle, 2013. "Non-parametric Estimation of Operational Risk and Expected Shortfall," Monash Econometrics and Business Statistics Working Papers 23/13, Monash University, Department of Econometrics and Business Statistics.
    7. Ulrich K. Müller, 2020. "A More Robust t-Test," Working Papers 2020-32, Princeton University. Economics Department..
    8. Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2015. "Expected utility and catastrophic consumption risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 306-312.
    9. Peng, Liang & Yao, Qiwei, 2017. "Estimating conditional means with heavy tails," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 14-22.
    10. Peng, Liang & Yao, Qiwei, 2017. "Estimating conditional means with heavy tails," LSE Research Online Documents on Economics 73082, London School of Economics and Political Science, LSE Library.
    11. Djamel Meraghni & Abdelhakim Necir, 2007. "Estimating the Scale Parameter of a Lévy-stable Distribution via the Extreme Value Approach," Methodology and Computing in Applied Probability, Springer, vol. 9(4), pages 557-572, December.
    12. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2014. "Expected Utility and Catastrophic Risk," Tinbergen Institute Discussion Papers 14-133/III, Tinbergen Institute.
    13. Ulrich K. Mueller, 2020. "A More Robust t-Test," Papers 2007.07065, arXiv.org.
    14. Necir, Abdelhakim & Meraghni, Djamel, 2009. "Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 49-58, August.

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