On tail index estimation using a sample with missing observations

DOI10.1016/j.spl.2012.01.014zbMath1321.62049OpenAlexW2109960578MaRDI QIDQ433581

Ivana Ilić

Publication date: 5 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.01.014

zbMATH Keywords

parameter estimationmissing observationsnear epoch dependenceextremal dependencetail indices

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Related Items

Simple tail index estimation for dependent and heterogeneous data with missing values, An enhanced method for tail index estimation under missingness

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