Asymptotic properties of generalized DPR statistic
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Publication:392996
DOI10.1007/s10986-012-9158-4zbMath1322.62095OpenAlexW2001802275MaRDI QIDQ392996
Publication date: 15 January 2014
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-012-9158-4
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)
Related Items (4)
Location invariant heavy tail index estimation with block method ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ A review of more than one hundred Pareto-tail index estimators
Cites Work
- Several modifications of DPR estimator of the tail index
- On the tail index of a heavy tailed distribution
- A moment estimator for the index of an extreme-value distribution
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- A new estimator for a tail index
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- On the estimation of the parameters of multivariate stable distributions
- More on \(p\)-stable convex sets in Banach spaces
- Comparison of tail index estimators
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