Optimal index estimation of heavy-tailed distributions

DOI10.1080/07474946.2021.1847969zbMath1464.62364OpenAlexW3139353837MaRDI QIDQ4987194

Dimitris N. Politis, Vjatscheslav Vasiliev, Sergey E. Vorobeychikov

Publication date: 29 April 2021

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2021.1847969

zbMATH Keywords

heavy tailsoptimal convergence rateCauchy distributionPareto-type distributionslog-gamma distributionoptimal parameter estimation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Large deviations (60F10) Sequential estimation (62L12)

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• Editor's Special Invited Paper: Sequential Estimation for Time Series Models
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