Comparison of the several parameterized estimators for the positive extreme value index

DOI10.1080/00949655.2016.1263303OpenAlexW2558274006MaRDI QIDQ5106857

Marijus Vaičiulis, Vygantas Paulauskas

Publication date: 22 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2016.1263303

zbMATH Keywords

asymptotic normalityregularly varying functiontail index estimationparameterized estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Estimating Long Memory in Panel Random‐Coefficient AR(1) Data ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications

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