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Local polynomial maximum likelihood estimation for Pareto-type distributions · Study

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ArticleLocal polynomial maximum likelihood estimation for Pareto-type distributions

Jan Beirlant2003

OA

Articlebronze2003

Local polynomial maximum likelihood estimation for Pareto-type distributions

Jan Beirlant · Yuri Goegebeur

54 citations·0/0 files stored·Journal of Multivariate Analysis

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Probability and Risk Models Statistical Distribution Estimation and Applications Statistical Methods and Inference

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 54 citations exist upstream.

References

1990Models for Exceedances Over High Thresholds 1989A Moment Estimator for the Index of an Extreme-Value Distribution 1987Estimating Tails of Probability Distributions 1982On Some Simple Estimates of an Exponent of Regular Variation 1985Kernel Estimates of the Tail Index of a Distribution 1999Tail Index Estimation and an Exponential Regression Model 1999Estimating a tail exponent by modelling departure from a Pareto distribution 1996Practical analysis of extreme values

Cited by

2008A moving window approach for nonparametric estimation of the conditional tail index 2019Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*

Details

Year2003

Typearticle

Published2003-09-12

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations54

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1016/s0047-259x(03)00125-8

openalex_workW2037069720

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