Adaptive and minimax optimal estimation of the tail coefficient

We consider the problem of estimating the tail index $α$ of a distribution satisfying a $(α, β)$ second-order Pareto-type condition, where βis the second-order coefficient. When $β$ is available, it was previously proved that $α$ can be estimated with the oracle rate $n^{-β/(2β+1)}$. On the contrary, when $β$ is not available, estimating $α$ with the oracle rate is challenging; so additional assumptions that imply the estimability of $β$ are usually made. In this paper, we propose an adaptive estimator of $α$, and show that this estimator attains the rate $(n/\log\log n)^{-β/(2β+1)}$ without a priori knowledge of $β$ and any additional assumptions. Moreover, we prove that this $(\log\log n)^{β/(2β+1)}$ factor is unavoidable by obtaining the companion lower bound.

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