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IMCS/Publications/BASM/Issues/BASM n.1 (53), 2007/

Pareto approximation of the tail by local exponential modeling.

Authors: Ion Grama, Vladimir Spokoiny

Abstract

We give a new adaptive method for selecting the number of upper order statistics used in the estimation of the tail of a distribution function. Our approach is based on approximation by an exponential model. The selection procedure consists in consecutive testing for the hypothesis of homogeneity of the estimated parameter against the change-point alternative. The selected number of upper order statistics corresponds to the first detected change-point. Our main results are non-asymptotic.

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