Tail exponent estimation via broadband log density-quantile regression

DOI10.1016/j.jspi.2010.04.035zbMath1233.62110OpenAlexW2037762990MaRDI QIDQ993809

Scott H. Holan, Tucker S. McElroy

Publication date: 20 September 2010

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.2010.04.035

zbMATH Keywords

tail indexextreme-value theoryquantile densityFourier series estimator

Mathematics Subject Classification ID

Related Items (4)

Weighted least squares estimators for the Parzen tail index ⋮ Tail index estimation with a fixed tuning parameter fraction ⋮ On the measurement and treatment of extremes in time series ⋮ Tail exponent estimation via broadband log density-quantile regression

Cites Work

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