SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The harmonic moment tail index estimator: asymptotic distribution and robustness
15 references·1 citing·25 second hop
The harmonic moment tail index estimator: asymptotic distribution and robustness (2013)The harmonic moment tail index estimator:…A robust estimator for the tail index of Pareto-type distributions (2007)A robust estimator for the ta…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Extreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Extreme value theory : an introduction (2006)Extreme value theory : an int…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…Statistics of Extremes (2004)Statistics of ExtremesRobust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution (2000)Robust and Efficient Estimati…On asymptotic normality of the hill estimator (1998)On asymptotic normality of th…Comparison of tail index estimators (1998)Comparison of tail index esti…Modelling Extremal Events (1997)Modelling Extremal EventsOn Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation (1985)On Asymptotic Normality of Hi…Kernel Estimates of the Tail Index of a Distribution (1985)Kernel Estimates of the Tail …On Some Simple Estimates of an Exponent of Regular Variation (1982)On Some Simple Estimates of a…Laws of Large Numbers for Sums of Extreme Values (1982)Laws of Large Numbers for Sum…Residual Life Time at Great Age (1974)Residual Life Time at Great A…A Review of More than One Hundred Pareto-Tail Index Estimators (2019)A Review of More than One Hun…Extreme Values in the GI/G/1 Queue (1972)How to make a Hill plot (2000)Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (2006)The variation of certain speculative prices (1997)Selecting the optimal sample fraction in univariate extreme value estimation (1998)Estimating a tail exponent by modelling departure from a Pareto distribution (1999)Tail Index Estimation and an Exponential Regression Model (1999)Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2009)Statistical Modeling of Spatial Extremes (2012)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Extreme Correlation of International Equity Markets (2001)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)Stationary max-stable fields associated to negative definite functions (2009)Power-law distributions in empirical data (2018)Risk management with expectiles (2015)Power Laws in Economics and Finance (2009)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Regularly varying multivariate time series (2008)Extreme events: dynamics, statistics and prediction (2011)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 2006Extreme Value Theory : An Introduction1,564 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 2006Extreme value theory : an introduction1,256 cited
  • 2004Statistics of Extremes1,204 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 1985Kernel Estimates of the Tail Index of a Distribution283 cited
  • 1982Laws of Large Numbers for Sums of Extreme Values278 cited
  • 1998Comparison of tail index estimators226 cited
  • 1985On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation214 cited
  • 2007A robust estimator for the tail index of Pareto-type distributions82 cited
  • 2000Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution82 cited
  • 1998On asymptotic normality of the hill estimator76 cited

Cited by

  • 2019A Review of More than One Hundred Pareto-Tail Index Estimators

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

39 cited