Regression estimators for the tail index

Abstract

We propose a class of weighted least squares estimators for the tail index of a distribution function with a regularly varying upper tail. Our approach is based on the method developed by \\cite{Holan2010} for the Parzen tail index. Asymptotic normality of the estimators is proved. Through a simulation study, these and earlier estimators are compared in the Pareto and Hall models using the mean squared error as criterion. The results show that the weighted least squares estimator is better than the other estimators investigated.