Estimation of the maximal moment exponent with censored data

DOI10.1080/03610910008813662zbMath1008.62600OpenAlexW2003080826WikidataQ57710970 ScholiaQ57710970MaRDI QIDQ4787647

Nuno Crato

Publication date: 2000

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910008813662

zbMATH Keywords

heavy tailPareto distributionHill estimatorstable distributionextreme events

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Cites Work

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• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• A simple general approach to inference about the tail of a distribution
• On the robustness of nonlinearity tests to moment condition failure
• Heavy-tailed phenomena in satisfiability and constraint satisfaction problems
• A Method for Simulating Stable Random Variables
• The Pareto-Levy Law and the Distribution of Income

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