A Pareto tail plot without moment restrictions
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arXiv
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866916192846872576 |
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| author | Klar, Bernhard |
| author_facet | Klar, Bernhard |
| contents | We propose a mean functional which exists for any probability distributions, and which characterizes the Pareto distribution within the set of distributions with finite left endpoint. This is in sharp contrast to the mean excess plot which is not meaningful for distributions without existing mean, and which has a nonstandard behaviour if the mean is finite, but the second moment does not exist. The construction of the plot is based on the so called principle of a single huge jump, which differentiates between distributions with moderately heavy and super heavy tails. We present an estimator of the tail function based on $U$-statistics and study its large sample properties. The use of the new plot is illustrated by several loss datasets. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_01076 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | A Pareto tail plot without moment restrictions Klar, Bernhard Methodology We propose a mean functional which exists for any probability distributions, and which characterizes the Pareto distribution within the set of distributions with finite left endpoint. This is in sharp contrast to the mean excess plot which is not meaningful for distributions without existing mean, and which has a nonstandard behaviour if the mean is finite, but the second moment does not exist. The construction of the plot is based on the so called principle of a single huge jump, which differentiates between distributions with moderately heavy and super heavy tails. We present an estimator of the tail function based on $U$-statistics and study its large sample properties. The use of the new plot is illustrated by several loss datasets. |
| title | A Pareto tail plot without moment restrictions |
| topic | Methodology |
| url | https://arxiv.org/abs/2310.01076 |