A nonparametric estimator for the conditional tail index of Pareto-type distributions

DOI10.1007/s00184-019-00723-8zbMath1436.62148OpenAlexW2955352825WikidataQ127593244 ScholiaQ127593244MaRDI QIDQ2303031

Bo Wei, Yaolan Ma, Wei Huang

Publication date: 28 February 2020

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-019-00723-8

zbMATH Keywords

asymptotic normalitytail indexnonparametric regressionlocal likelihoodPareto-type model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Uses Software

• ismev

Cites Work

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