Weak limiting behaviour of a simple tail Pareto-index estimator

DOI10.1016/0378-3758(94)00060-3zbMath0819.62041OpenAlexW2033907117MaRDI QIDQ1890864

Jean-Noel Bacro, Margarida Brito

Publication date: 23 May 1995

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

Full work available at URL: https://doi.org/10.1016/0378-3758(94)00060-3

zbMATH Keywords

order statisticsPareto distributionregularly varying upper tailestimator of the exponentweak asymptotic properties

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05)

Related Items (8)

Consistent estimation of the tail index for dependent data ⋮ On tail index estimation using a sample with missing observations ⋮ Simple tail index estimation for dependent and heterogeneous data with missing values ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Pareto Index Estimation Under Moderate Right Censoring ⋮ Edgeworth expansion for an estimator of the adjustment coefficient ⋮ A tail bootstrap procedure for estimating the tail Pareto-index ⋮ Bootstrap confidence intervals for the pareto index

Cites Work

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• Kernel estimates of the tail index of a distribution
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• On the Optimality of Estimating the Tail Index and a Naive Estimator
• Almost sure convergence of the Hill estimator
• Estimation of the Minimum of a Function Using Order Statistics
• Uniform rates of convergence in extreme-value theory
• Regularly varying functions

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