Generalized least-squares estimators for the thickness of heavy tails

DOI10.1016/S0378-3758(02)00419-6zbMath1032.62044OpenAlexW2071760939MaRDI QIDQ1417814

Inmaculada B. Aban, Mark M. Meerschaert

Publication date: 6 January 2004

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(02)00419-6

zbMATH Keywords

Least-squaresOrder statisticsLinear regressionHeavy tails

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (9)

Asymptotically best linear unbiased tail estimators under a second-order regular variation condition ⋮ Tail index estimation with a fixed tuning parameter fraction ⋮ Fractional reproduction-dispersal equations and heavy tail dispersal kernels ⋮ Power-law distributions in binned empirical data ⋮ Tail fitting for truncated and non-truncated Pareto-type distributions ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS ⋮ Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known ⋮ Parameter estimation for one-sided heavy-tailed distributions

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