Estimating the index of a stable law via the pot-method

DOI10.1016/S0167-7152(98)00210-7MaRDI QIDQ1304070zbMATH OpenFDO

Authors Frank Marohn

Publication date 1999

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

Full work available at URL https://doi.org/10.1016/S0167-7152(98)00210-7

zbMATH Keywords

asymptotic efficiencycentral sequencefinite sample size propertiesgeneralized Pareto distributionHill estimatorLANpeak over thresholdpoint process of exceedancesstable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12)

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Cites work

• A course on point processes
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• Estimating a Stability Parameter: Asymptotics and Simulations
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• Local asymptotic normality in extreme value index estimation
• Local asymptotic normality of truncated empirical processes
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• On tail parameter estimation in certain point process models
• On testing the extreme value index via the POT-method
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Strong convergence of multivariate point processes of exceedances
• Tail Index Estimation in Models of Generalized Order Statistics
• Two comments on parameter estimation in stable processes

Cited in

(3)

• Estimating the index of a stable distribution
• Estimating a Stability Parameter: Asymptotics and Simulations
• Parameter Estimation of Stable Distributions

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