Estimation of the tail index in the max-aggregation scheme

DOI10.1007/s10986-012-9174-4zbMath1318.62079OpenAlexW2012152009MaRDI QIDQ1943761

Marijus Vaičiulis, Vygantas Paulauskas

Publication date: 21 March 2013

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-012-9174-4

zbMATH Keywords

asymptotic normalitytail indexHill estimatormean-squared error

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Inference of high quantiles of a heavy-tailed distribution from block data ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Local-maximum-based tail index estimator

Cites Work

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• Several modifications of DPR estimator of the tail index
• On the estimation of a changepoint in a tail index
• On the tail index of a heavy tailed distribution
• A new estimator for a tail index
• A more general central limit theorem for \(m\)-dependent random variables with unbounded \(m\)
• More on \(p\)-stable convex sets in Banach spaces
• A central limit theorem for m-dependent random variables with unbounded m
• Estimator of the Pareto Index Based on Nonparametric Test
• On Extreme Order Statistics
• Nonparametric Analysis of Univariate Heavy‐Tailed Data
• Testing the Gumbel hypothesis by Galton's ratio

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