A new approach on estimation of the tail index

DOI10.1016/S1631-073X(02)02450-0zbMath1004.62052OpenAlexW2077167554MaRDI QIDQ1854706

Dimitris N. Politis

Publication date: 15 January 2003

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1631-073x(02)02450-0

zbMATH Keywords

linear time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (7)

Moment-based tail index estimation ⋮ On an improvement of Hill and some other estimators ⋮ Consistent estimation of the tail index for dependent data ⋮ Semi-parametric regression estimation of the tail index ⋮ Computer-intensive rate estimation, diverging statistics and scanning ⋮ On the measurement and treatment of extremes in time series ⋮ A review of more than one hundred Pareto-tail index estimators

Cites Work

• Kernel estimates of the tail index of a distribution
• Necessary conditions for the bootstrap of the mean
• ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS
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