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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...
This paper deals with the semi-parametric approach to the problem of statistical choice of extreme domains of attraction. Relying on concepts of regular variation theory, it investigates the asymptotic properties of Hasofer and Wang’s test statistic based on the k upper extremes taken from a sample of size n, when k behaves as an intermediate sequence kn rather than remaining fixed while the sample...
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