Several modifications of DPR estimator of the tail index

DOI10.1007/s10986-011-9106-8zbMath1322.62094OpenAlexW2032873767MaRDI QIDQ392751

Vygantas Paulauskas, Marijus Vaičiulis

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-011-9106-8

zbMATH Keywords

asymptotic normalitytail indexPickands estimatorHill estimatormean-squared errorDPR estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

Related Items (10)

Location invariant heavy tail index estimation with block method ⋮ On an improvement of Hill and some other estimators ⋮ Asymptotic properties of generalized DPR statistic ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ Estimation of the tail index in the max-aggregation scheme ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A class of new tail index estimators ⋮ Local-maximum-based tail index estimator ⋮ On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions

Cites Work

• On the tail index of a heavy tailed distribution
• A moment estimator for the index of an extreme-value distribution
• Convergence to a stable distribution via order statistics
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Optimal choice of sample fraction in extreme-value estimation
• A new estimator for a tail index
• On the estimation of the parameters of multivariate stable distributions
• More on \(p\)-stable convex sets in Banach spaces
• Comparison of tail index estimators

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