Weighted least squares estimators for the Parzen tail index

DOI10.1007/s10998-021-00403-zOpenAlexW3186933641MaRDI QIDQ2151159

László Viharos, Amenah Al-Najafi

Publication date: 30 June 2022

Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.12631

zbMATH Keywords

weighted least squares estimatorstail exponentdensity-quantile

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

Cites Work

• Unnamed Item
• Semi-parametric estimation for heavy tailed distributions
• Tail index estimation with a fixed tuning parameter fraction
• A moment estimator for the index of an extreme-value distribution
• Tail exponent estimation via broadband log density-quantile regression
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Uniform consistency of generalized kernel estimators of quantile density
• Quantile probability and statistical data modeling
• Nonparametric Statistical Data Modeling

This page was built for publication: Weighted least squares estimators for the Parzen tail index