Multivariate moment based extreme value index estimators (Q1695426): Difference between revisions

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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+A moment estimator for the index of an extreme-value distribution
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+Inference for vast dimensional elliptical distributions
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+Flexible multivariate Hill estimators
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+Mixed moment estimator and location invariant alternatives
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+On asymptotic normality of Hill's estimator for the exponent of regular variation
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+A simple general approach to inference about the tail of a distribution
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+Tail Index Estimation for a Filtered Dependent Time Series
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+Multivariate extremes, aggregation and dependence in elliptical distributions
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+Laws of large numbers for sums of extreme values
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