Maximum likelihood revisited under a semi-parametric context - estimation of the tail index

DOI10.1080/0094965021000038931zbMath1046.62050OpenAlexW2008270267MaRDI QIDQ4460625

Orlando Oliveira, M. Ivette Gomes

Publication date: 18 May 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965021000038931

zbMATH Keywords

tablescensoringextremessemi-parametric estimationParetian excesses

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (3)

Bias reduction and explicit semi-parametric estimation of the tail index ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Detecting influential data points for the Hill estimator in Pareto-type distributions

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