Estimation and inference about tail features with tail censored data

DOI10.1016/j.jeconom.2021.01.013OpenAlexW3169466517MaRDI QIDQ2172008

Zhijie Xiao, Yu-Long Wang

Publication date: 14 September 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.09982

zbMATH Keywords

tail indexextreme value theorypower lawextreme quantile

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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