Pages that link to "Item:Q1224394"

The following pages link to A simple general approach to inference about the tail of a distribution (Q1224394):

Displaying 50 items.

• A nonparametric method for producing isolines of bivariate exceedance probabilities (Q127498) (← links)
• A simple generalisation of the Hill estimator (Q130015) (← links)
• Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (Q135348) (← links)
• Tail risk inference via expectiles in heavy-tailed time series (Q135350) (← links)
• Testing for (in)finite moments (Q138542) (← links)
• Detecting influential data points for the Hill estimator in Pareto-type distributions (Q146008) (← links)
• Threshold selection for extremes under a semiparametric model (Q257615) (← links)
• Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring (Q259855) (← links)
• On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
• Properties of Hill's estimator of extreme value index for impure samples (Q263308) (← links)
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934) (← links)
• The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance (Q280256) (← links)
• Robust and bias-corrected estimation of the probability of extreme failure sets (Q288263) (← links)
• Asymptotic and bootstrap inference for inequality and poverty measures (Q288352) (← links)
• Income distribution and inequality measurement: the problem of extreme values (Q289196) (← links)
• Tail product-limit process for truncated data with application to extreme value index estimation (Q291405) (← links)
• Testing the assumptions behind importance sampling (Q302094) (← links)
• Competitive estimation of the extreme value index (Q310653) (← links)
• Animal spirits in the foreign exchange market (Q310958) (← links)
• The impact of a financial transaction tax on stylized facts of price returns -- evidence from the lab (Q310972) (← links)
• Kernel estimation of the tail index of a right-truncated Pareto-type distribution (Q334035) (← links)
• Empirical analysis of structural change in credit default swap volatility (Q336123) (← links)
• Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework (Q347140) (← links)
• Weak properties and robustness of t-Hill estimators (Q347146) (← links)
• A moment estimator for the conditional extreme-value index (Q367216) (← links)
• On an improvement of Hill and some other estimators (Q383679) (← links)
• Nonparametric estimation of multivariate elliptic densities via finite mixture sieves (Q391911) (← links)
• Several modifications of DPR estimator of the tail index (Q392751) (← links)
• Asymptotic properties of generalized DPR statistic (Q392996) (← links)
• Modeling of censored bivariate extremal events (Q397218) (← links)
• Asymptotically unbiased estimation of the second order tail parameter (Q419178) (← links)
• A method of moments estimator of tail dependence in meta-elliptical models (Q419290) (← links)
• Tail index estimation in the presence of long-memory dynamics (Q425381) (← links)
• Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data (Q431908) (← links)
• On tail index estimation using a sample with missing observations (Q433581) (← links)
• Robust test for detecting a signal in a high dimensional sparse normal vector (Q434546) (← links)
• Estimating the conditional tail index by integrating a kernel conditional quantile estimator (Q434577) (← links)
• Regularization and variable selection for infinite variance autoregressive models (Q447619) (← links)
• Estimation of extreme quantiles from heavy and light tailed distributions (Q449352) (← links)
• Asymptotically unbiased estimators for the extreme-value index (Q449915) (← links)
• Confidence regions for high quantiles of a heavy tailed distribution (Q449958) (← links)
• Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models (Q470495) (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
• The dynamic power law model (Q482073) (← links)
• Normex, a new method for evaluating the distribution of aggregated heavy tailed risks (Q482083) (← links)
• Estimation of the conditional tail index using a smoothed local Hill estimator (Q483516) (← links)
• Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis (Q483520) (← links)
• Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (Q485704) (← links)
• A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes (Q497491) (← links)
• Uniform asymptotic properties of a nonparametric regression estimator of conditional tails (Q500814) (← links)