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arXiv · 2609.31127

Large and Moderate Deviations for Conservative Tail-Index Estimation

Martijn Gösgens·Bart P. G. van Parys·Bert Zwart
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Abstract

To design systems that are protected against events much rarer than the observational record, extreme-value methods are needed to extrapolate distribution tails. Tail-index estimators such as the Hill estimator are central to this extrapolation, but overestimating the tail exponent can lead to substantial underestimation of rare-event probabilities. Motivated by this, we derive large- and moderate-deviation asymptotics for the Hill estimator and use them to construct estimators whose probability of exceeding the true tail index decays at a controlled exponential rate (the decay rate). In the large-deviations regime, we show that a simple rescaled version of the Hill estimator achieves an optimal balance between bias and decay rate among scale-invariant estimators based on the same top $k$ order statistics. Under a second-order condition, we quantify the effect of the Hill bias, analyze a bias-corrected estimator, and identify sufficient conditions for moderate deviations in the boundary case where the second-order parameter $ρ$ equals zero.

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Martijn Gösgens, Bart P. G. van Parys, Bert Zwart. 2026-09-25. Large and Moderate Deviations for Conservative Tail-Index Estimation. https://arxiv.org/abs/2609.31127

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