Estimating the index of a stable law via the pot-method (Q1304070)
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scientific article; zbMATH DE number 1348303
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the index of a stable law via the pot-method |
scientific article; zbMATH DE number 1348303 |
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Estimating the index of a stable law via the pot-method (English)
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1999
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stable distribution
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point process of exceedances
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peak over threshold
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generalized Pareto distribution
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Hill estimator
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LAN
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central sequence
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asymptotic efficiency
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finite sample size properties
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