Estimating the tail index: another algorithmic method

MaRDI QIDQ2941775zbMATH OpenFDO

Authors Marta Ferreira

Publication date 25 August 2015

Full work available at URL http://probstat.org.in/PSF-2015-05.pdf

zbMATH Keywords

extreme value theorygeneralized Hill estimatorHill estimatortail index

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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