Estimation of a tail index based on minimum density power divergence
From MaRDI portal
Recommendations
- An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
- A note on the asymptotic distribution of the minimum density power divergence estimator
- Robust and efficient estimation by minimising a density power divergence
- Dual divergence estimators of the tail index
- Divergence based robust estimation of the tail index through an exponential regression model
Cites work
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 3826980 (Why is no real title available?)
- scientific article; zbMATH DE number 3911472 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 2221907 (Why is no real title available?)
- scientific article; zbMATH DE number 3200971 (Why is no real title available?)
- A robust estimator for the tail index of Pareto-type distributions
- A simple general approach to inference about the tail of a distribution
- Asymptotic behavior of hill's estimator for autoregressive data
- Consistency of Hill's estimator for dependent data
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Extremes and related properties of random sequences and processes
- Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
- Minimum Hellinger distance estimates for parametric models
- On tail index estimation using dependent data
- On the Strong Mixing Property for Linear Sequences
- Robust and efficient estimation by minimising a density power divergence
- SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
- Test for parameter change based on the estimator minimizing density-based divergence meas\-ures
- Uniform rates of convergence in extreme-value theory
Cited in
(17)- The harmonic moment tail index estimator: asymptotic distribution and robustness
- On the tail index inference for heavy-tailed GARCH-type innovations
- Robust estimator of conditional tail expectation of Pareto-type distribution
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- Robust and bias-corrected estimation of the probability of extreme failure sets
- The minimum density power divergence estimation for the lognormal density
- Local robust estimation of Pareto-type tails with random right censoring
- scientific article; zbMATH DE number 5492169 (Why is no real title available?)
- Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
- An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
- A note on the asymptotic distribution of the minimum density power divergence estimator
- Robust estimation of Pareto-type tail index through an exponential regression model
- Robust conditional Weibull-type estimation
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Divergence based robust estimation of the tail index through an exponential regression model
- Robust nonparametric estimation of the conditional tail dependence coefficient
- Dual divergence estimators of the tail index
This page was built for publication: Estimation of a tail index based on minimum density power divergence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q957324)
