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A robust estimator for the tail index of Pareto-type distributions · Study

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ArticleA robust estimator for the tail index of Pareto-type distributions

Björn Vandewalle2007

OA

Articlegreen2007

A robust estimator for the tail index of Pareto-type distributions

Björn Vandewalle · Jan Beirlant · Andreas Christmann · Mia Hubert B

82 citations·0/0 files stored·Computational Statistics & Data Analysis

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

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References

2004Statistics of Extremes: Theory and Applications 1987Estimating Tails of Probability Distributions 2005Statistics of Extremes: Theory and Applications 1999Tail Index Estimation and an Exponential Regression Model 1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics 1996The qq-estimator and heavy tails 1996Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics 2003Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database

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2013The harmonic moment tail index estimator: asymptotic distribution and robustness 2010On the favorable estimation for fitting heavy tailed data 2013Optimal risk transfer under quantile-based risk measurers 2008Robust fitting of claim severity distributions and the method of trimmed moments 2007Identifying multiple outliers in heavy-tailed distributions with an application to market crashes 2007It's all in the data – consistent operational risk measurement and regulation

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Details

Year2007

Typearticle

Published2007-01-17

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations82

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.csda.2007.01.003

openalex_workW2169986006

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