We propose an estimator of the Pareto index m, based on the tail behavior of the sample mean. The estimator is strongly consistent and asymptotically normal. Its behavior is illustrated in a simulation study.
We propose an estimator of the Pareto index m, based on the tail behavior of the sample mean. The estimator is strongly consistent and asymptotically normal. Its behavior is illustrated in a simulation study. (en)
Odhad Paretova indexu založený na výběrových průměrech (cs)