A two-step estimator of the extreme value index

DOI10.1007/S10687-008-0058-2zbMath1164.62019OpenAlexW2084892817MaRDI QIDQ1003330

Chen Zhou

Publication date: 28 February 2009

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0058-2

zbMATH Keywords

maximum likelihood estimationtail indexadaptive estimationheavy tailed distributions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (2)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Empirical likelihood based inference for conditional Pareto-type tail index

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