Heavy tail index estimation based on block order statistics

DOI10.1080/00949655.2020.1769622MaRDI QIDQ5036864zbMATH OpenOpenAlexFDO

Authors Li Xiong, Zuoxiang Peng

Publication date 23 February 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2020.1769622

zbMATH Keywords

asymptotic expansionasymptotic normalityconsistencyheavy tail index

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics (62-XX) Statistics of extreme values; tail inference (62G32)

Cites work

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• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
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Cited in

(3)

• Location invariant heavy tail index estimation with block method
• Inference of high quantiles of a heavy-tailed distribution from block data
• Heavy tail index estimation for block data

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