Robust estimation of Pareto-type tail index through an exponential regression model
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Publication:5875238
DOI10.1080/03610926.2021.1916530OpenAlexW3165122930MaRDI QIDQ5875238
Tertius de Wet, Abhik Ghosh, R. Minkah
Publication date: 3 February 2023
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2021.1916530
maximum likelihoodtail indexrobust estimationextended Pareto distributionexponential regression modelminimum density power divergence
Nonparametric robustness (62G35) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)
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