Bias-reduced estimation of Wang's two-sided deviation risk measure under Lévy-stable regime

zbMath1258.91096MaRDI QIDQ1941211

Brahim Brahimi, Abdelhakim Necir, Sonia Touba, Djamel Meraghni

Publication date: 12 March 2013

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1359744268

zbMATH Keywords

order statisticsbias reductiontail indexrisk measureHill estimatorhigh quantilesL-statisticssecond order regular variationLévy-stable distributions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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