Simple tail index estimation for dependent and heterogeneous data with missing values
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Publication:1729814
DOI10.1214/17-BJPS384zbMath1414.62420OpenAlexW2910140418MaRDI QIDQ1729814
Ivana Ilić, Vladica M. Veličković
Publication date: 28 February 2019
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bjps/1547456493
consistencyregular variationheavy-tailed distributionsmissing observationsextremal dependencetail indices
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)
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Cites Work
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