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A simple robust estimation method for the thickness of heavy tails · Study

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ArticleA simple robust estimation method for the thickness of heavy tails

Mark M. Meerschaert1998

Article1998

A simple robust estimation method for the thickness of heavy tails

Mark M. Meerschaert · Hans‐Peter Scheffler

64 citations·0/0 files stored·Journal of Statistical Planning and Inference

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

1989A Moment Estimator for the Index of an Extreme-Value Distribution 1982On Some Simple Estimates of an Exponent of Regular Variation 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets 1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 1985Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities 1997Measuring Tail Thickness to Estimate the Stable Index α: A Critique 1995Consistency of Hill's estimator for dependent data

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2007Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets 2008Stock return distributions: Tests of scaling and universality from three distinct stock markets 2013On an improvement of Hill and some other estimators 2019A Review of More than One Hundred Pareto-Tail Index Estimators 2009Confidence interval estimation under the presence of non-Gaussian random errors: Applications to uncertainty analysis of chemical processes and simulation

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Year1998

Typearticle

Published1998-08-01

VenueJournal of Statistical Planning and Inference

ISSN-L0378-3758

Languageen

Citations64

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/s0378-3758(98)00093-7

openalex_workW2087526395

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