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Smoothing the Hill Estimator

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References

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1996The qq-estimator and heavy tails203 cited

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2006An Econometric Analysis of Emission Trading Allowances99 cited
2010ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA94 cited
2001Heavy-Tailed Distributions and Rating86 cited
2002Asymptotic independence and a network traffic model79 cited
1998On asymptotic normality of the hill estimator

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76 cited

2005Estimation of the extreme-value index and generalized quantile plots72 cited

2000Self-similar communication models and very heavy tails71 cited

1997Asymptotic behavior of hill's estimator for autoregressive data71 cited

1997Second-order regular variation, convolution and the central limit theorem69 cited

1998Estimating the tail index63 cited

2004On the foundations of multivariate heavy-tail analysis59 cited

2005Extreme behaviour for bivariate elliptical distributions53 cited

2016Tail Index Estimation: Quantile Driven Threshold Selection51 cited