An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index

DOI10.1016/j.jmva.2013.06.011zbMath1328.62201MaRDI QIDQ2350660

Yuri Goegebeur, Goedele Dierckx, Armelle Guillou

Publication date: 25 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.06.011

zbMATH Keywords

tail index; bias-correction; density power divergence; Pareto-type distribution

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G35: Nonparametric robustness

62G05: Nonparametric estimation

62G32: Statistics of extreme values; tail inference

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