Limiting behaviour of a geometric-type estimator for tail indices.

DOI10.1016/S0167-6687(03)00135-5zbMath1104.62310MaRDI QIDQ1423351

Ana Cristina Moreira Freitas, Margarida Brito

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Parameter estimationtail indicesLeast squares estimatorsAdjustment coefficientUniversal asymptotic normality

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items

Consistent estimation of the tail index for dependent data ⋮ On tail index estimation using a sample with missing observations ⋮ An enhanced method for tail index estimation under missingness ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Edgeworth expansion for an estimator of the adjustment coefficient ⋮ Weak convergence of a bootstrap geometric-type estimator with applications to risk theory

Cites Work

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• The qq-estimator and heavy tails
• Almost sure convergence of the Hill estimator
• On Some alternative estimates of the adjustment coefficient in risk theory
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Confidence bounds for the adjustment coefficient

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