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ArticleA class of new tail index estimators

Vygantas I Paulauskas2015

Article2015

A class of new tail index estimators

Vygantas I Paulauskas · Marijus Vaičiulis

28 citations·0/0 files stored·Annals of the Institute of Statistical Mathematics

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

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References

2006Extreme Value Theory : An Introduction 2006Extreme value theory : an introduction 1989A Moment Estimator for the Index of an Extreme-Value Distribution 1982On Some Simple Estimates of an Exponent of Regular Variation 1998Comparison of tail index estimators 2002“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter 1993Optimal Choice of Sample Fraction in Extreme-Value Estimation 2001Generalizations of the Hill estimator – asymptotic versus finite sample behaviour

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Year2015

Typearticle

Published2015-12-14

VenueAnnals of the Institute of Statistical Mathematics

ISSN-L0020-3157

Languageen

Citations28

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s10463-015-0548-3

openalex_workW2196865181

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