On the Accuracy of Inference on Heavy-Tailed Distributions

DOI10.1137/S0040585X97986710zbMATH Open1318.60061OpenAlexW2154944902MaRDI QIDQ2931888

S. Yu. Novak

Publication date: 28 November 2014

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97986710

zbMATH Keywords

mean squared errorlower boundtail indexextreme quantiletail constant

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

Inference for heavy tailed distributions

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