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Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics

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References

1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
1985Kernel Estimates of the Tail Index of a Distribution283 cited

Cited by

2014Extreme Value Theory and Statistics of Univariate Extremes: A Review197 cited
2002“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter157 cited
2003Diagnostics for Dependence within Time Series Extremes140 cited
2001The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction133 cited
2001A Diagnostic for Selecting the Threshold in Extreme Value Analysis131 cited
2000Distribution and Dependence-Function Estimation for Bivariate Extreme-Value Distributions124 cited
1996Excess Functions and Estimation of the Extreme-Value Index120 cited
2009Tail Index Regression97 cited
2000Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology*93 cited
2002On Exponential Representations of Log-Spacings of Extreme Order Statistics91 cited
2003Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database91 cited

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2001

Heavy-Tailed Distributions and Rating

86 cited

2008Statistics of extremes under random censoring84 cited

2014Summarizing Risk Using Risk Measures and Risk Indices82 cited

2007A robust estimator for the tail index of Pareto-type distributions82 cited

1998Correlation Structure of International Equity Markets During Extremely Volatile Periods81 cited