Asymptotic Expansions of Estimators for the Tail Index with Applications

DOI10.1111/1467-9469.00131zbMath0927.62046OpenAlexW2040252194MaRDI QIDQ4702171

Jiazhu Pan, Shi Hong Cheng

Publication date: 23 November 1999

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00131

zbMATH Keywords

confidence intervalsasymptotic expansionsPickands estimatorHill estimatorheavy tailed distributionstail index estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) Order statistics; empirical distribution functions (62G30)

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