Using a bootstrap method to choose the sample fraction in tail index estimation

DOI10.1006/jmva.2000.1903zbMath0976.62044OpenAlexW2071431289MaRDI QIDQ5933445

Casper G. de Vries, Laurens De Haan, Jón Daníelsson, Liang Peng

Publication date: 8 January 2002

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2000.1903

zbMATH Keywords

bootstrap bias mean square error optimal extreme sample fraction tail index

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

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