A class of asymptotically unbiased semi-parametric estimators of the tail index.

DOI10.1007/BF02595711zbMath1039.62041MaRDI QIDQ1872866

M. Ivette Gomes, Frederico Caeiro

Publication date: 18 May 2003

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

robustnesssimulationsextremesfinite sample behaviorStudent models

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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Cites Work

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• Sur la distribution limite du terme maximum d'une série aléatoire
• Comparison of tail index estimators
• Robust Statistics
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology

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