Statistical tests on tail index of a probability distribution. (With comments and rejoinder)

zbMath1416.62277MaRDI QIDQ2002883

Jana Jureckova

Publication date: 12 July 2019

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

autoregressive time seriesempirical distribution functionextreme regression quantileheavy tailed distributionPareto tail indexGumbel hypothesis

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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