Heavy tail index estimation based on block order statistics

DOI10.1080/00949655.2020.1769622OpenAlexW3027235779MaRDI QIDQ5036864

Li Xiong, Zuo Xiang Peng

Publication date: 23 February 2022

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

Full work available at URL: https://doi.org/10.1080/00949655.2020.1769622

zbMATH Keywords

consistencyasymptotic expansionasymptotic normalityheavy tail index

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Statistics (62-XX)

Related Items (2)

Location invariant heavy tail index estimation with block method ⋮ Inference of high quantiles of a heavy-tailed distribution from block data

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