A new estimator for a tail index
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Publication:1415507
DOI10.1023/A:1025818424104zbMath1030.62041MaRDI QIDQ1415507
Publication date: 4 December 2003
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)
Related Items (16)
Heavy tail index estimation based on block order statistics ⋮ On the estimation of a changepoint in a tail index ⋮ Location invariant heavy tail index estimation with block method ⋮ On an improvement of Hill and some other estimators ⋮ Several modifications of DPR estimator of the tail index ⋮ Asymptotic properties of generalized DPR statistic ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ Estimation of the tail index in the max-aggregation scheme ⋮ On the tail index of a heavy tailed distribution ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A class of new tail index estimators ⋮ Local-maximum-based tail index estimator ⋮ On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence ⋮ An estimator of the tail index based on increment ratio statistics ⋮ Iterative estimation of the extreme value index
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