Estimating the index of a stable law via the pot-method

DOI10.1016/S0167-7152(98)00210-7zbMath1054.62521MaRDI QIDQ1304070

Frank Marohn

Publication date: 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencyHill estimatorLANgeneralized Pareto distributionstable distributionpeak over thresholdpoint process of exceedancescentral sequencefinite sample size properties

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12)

Related Items (1)

Parameter Estimation of Stable Distributions

Cites Work

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• On tail parameter estimation in certain point process models
• Local asymptotic normality in extreme value index estimation
• Comparison of estimators in stable models.
• Local asymptotic normality of truncated empirical processes
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• On testing the extreme value index via the POT-method
• A course on point processes
• A Method for Simulating Stable Random Variables
• Estimating a Stability Parameter: Asymptotics and Simulations
• Tail Index Estimation in Models of Generalized Order Statistics

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