A test procedure for detecting super-heavy tails |
| |
Authors: | Isabel Fraga Alves,Laurens de Haan,Clá udia Neves |
| |
Affiliation: | 1. CEAUL, DEIO, Faculty of Sciences, University of Lisbon, Portugal;2. Department of Economics, Erasmus University Rotterdam, The Netherlands;3. UIMA, Department of Mathematics, University of Aveiro, Portugal |
| |
Abstract: | The aim of this work is to develop a test to distinguish between heavy and super-heavy tailed probability distributions. These classes of distributions are relevant in areas such as telecommunications and insurance risk, among others. By heavy tailed distributions we mean probability distribution functions with polynomially decreasing upper tails (regularly varying tails). The term super-heavy is reserved for right tails decreasing to zero at a slower rate, such as logarithmic, or worse (slowly varying tails). Simulations are presented for several models and an application with telecommunications data is provided. |
| |
Keywords: | Estimation Max-domain of attraction Regular variation theory Test of hypothesis |
本文献已被 ScienceDirect 等数据库收录! |
|