Estimating a tail exponent by modelling departure from a Pareto distribution

DOI10.1214/AOS/1018031215zbMath0942.62059OpenAlexW1544520332MaRDI QIDQ1970488

Andrey Feuerverger

Publication date: 7 June 2000

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1018031215

zbMATH Keywords

order statisticsbias reductionregular variationmaximum likelihoodextreme-value theoryregressionpeaks-over-thresholdlog-spacingsspacings Zipf's law

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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