Divergence based robust estimation of the tail index through an exponential regression model

DOI10.1007/S10260-016-0364-9zbMath1441.62114arXiv1405.0808OpenAlexW2468444125WikidataQ115605847 ScholiaQ115605847MaRDI QIDQ2404621

Abhik Ghosh

Publication date: 19 September 2017

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.0808

zbMATH Keywords

extreme value theorydensity power divergencerobust methodsexponential regression model

Mathematics Subject Classification ID

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

Related Items (2)

Robust nonparametric estimation of the conditional tail dependence coefficient ⋮ Robust estimation of Pareto-type tail index through an exponential regression model

Uses Software

• simPopulation
• laeken

Cites Work

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