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On a Minimum Distance Procedure for Threshold Selection in Tail Analysis
13 references·1 citing·43 second hop
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References

  • 2009Power-Law Distributions in Empirical Data8,008 cited
  • 2004A Brief History of Generative Models for Power Law and Lognormal Distributions1,809 cited
  • 1960The Pareto-Levy Law and the Distribution of Income741 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 2009Colloquium : Statistical mechanics of money, wealth, and income518 cited
  • 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited
  • 2014Power-law distributions in binned empirical data281 cited
  • 1982Laws of Large Numbers for Sums of Extreme Values278 cited
  • 1998Selecting the optimal sample fraction in univariate extreme value estimation256 cited
  • 1991On Tail Index Estimation Using Dependent Data203 cited
  • 2001The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction133 cited
  • 2001Vertical transmission of culture and the distribution of family names114 cited
  • 2000Weighted approximations of tail processes for $\beta$-mixing random variables97 cited

Cited by

  • 2021Threshold selection in univariate extreme value analysis27 cited

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