Estimator of the Pareto Index Based on Nonparametric Test

DOI10.1080/03610920802311758zbMath1318.62159OpenAlexW2120802822WikidataQ61719258 ScholiaQ61719258MaRDI QIDQ3585256

Marek Omelka, Jana Jureckova

Publication date: 19 August 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802311758

zbMATH Keywords

asymptotic normalitystrong consistencyPareto-type tail index

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Estimation of the tail index in the max-aggregation scheme

Cites Work

• Kernel estimates of the tail index of a distribution
• A simple general approach to inference about the tail of a distribution
• A class of tests on the tail index
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Approximation Theorems of Mathematical Statistics
• Statistics of Extremes
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