Estimation problems for distributions with heavy tails
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Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of nonparametric inference (62G20) Large deviations (60F10) Statistics of extreme values; tail inference (62G32)
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Cites work
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 3656951 (Why is no real title available?)
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 491591 (Why is no real title available?)
- scientific article; zbMATH DE number 3290008 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- A Method for Simulating Stable Random Variables
- A simple general approach to inference about the tail of a distribution
- A simple robust estimation method for the thickness of heavy tails
- Characteristic functions of random variables attracted to 1-stable laws
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimating the index of a stable distribution
- Estimation in Univariate and Multivariate Stable Distributions
- Jackknifing $U$-Statistics
- Kernel estimates of the tail index of a distribution
- Modeling asset returns with alternative stable distributions*
- Stable limit distributions for strongly mixing sequences
- Statistical inference using extreme order statistics
- Tables and graphs of the stable probability density functions
- Weak limits of U-statistics of infinite order
Cited in
(23)- Lower bounds to the accuracy of inference on heavy tails
- On the accuracy of inference on heavy-tailed distributions
- Nakagami distribution with heavy tails and applications to mining engineering data
- Truncated estimation of ratio statistics with application to heavy tail distributions
- Random weighting estimation of stable exponent
- Estimation problems for distributions with heavy tails
- On the impossibility of estimating densities in the extreme tail
- Optimal index estimation of heavy-tailed distributions
- \textit{Independent approximates} enable closed-form estimation of heavy-tailed distributions
- Estimating L-functionals for heavy-tailed distributions and application
- Minimum-Distance Estimator for Stable Exponent
- Inference for heavy tailed distributions
- Processing quantities with heavy-tailed distribution of measurement uncertainty: how to estimate the tails of the results of data processing
- A review of more than one hundred Pareto-tail index estimators
- Strong consistency of the Crovella estimation for the tail index of regular variation heavy-tailed distributions
- Diverging Moments and Parameter Estimation
- Parameter Estimation of Stable Distributions
- Estimating the mean of heavy-tailed distributions
- On the favorable estimation for fitting heavy tailed data
- Estimating the mean of a heavy tailed distribution
- IPO estimation of heaviness of the distribution beyond regularly varying tails
- scientific article; zbMATH DE number 5308732 (Why is no real title available?)
- Tail exponent estimation via broadband log density-quantile regression
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