Moment-based tail index estimation
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Publication:872094
DOI10.1016/j.jspi.2006.04.002zbMath1107.62039OpenAlexW2079085524MaRDI QIDQ872094
Dimitris N. Politis, Tucker S. McElroy
Publication date: 27 March 2007
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2006.04.002
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Uses Software
Cites Work
- A moment estimator for the index of an extreme-value distribution
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Kernel estimates of the tail index of a distribution
- The local limit problem and Hölder-continuity
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- A simple robust estimation method for the thickness of heavy tails
- A new approach on estimation of the tail index
- Absolute Estimates of the Rate of Convergence to Stable Laws
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