Estimating the index of a stable law via the pot-method (Q1304070)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the index of a stable law via the pot-method |
scientific article |
Statements
Estimating the index of a stable law via the pot-method (English)
0 references
1999
0 references
stable distribution
0 references
point process of exceedances
0 references
peak over threshold
0 references
generalized Pareto distribution
0 references
Hill estimator
0 references
LAN
0 references
central sequence
0 references
asymptotic efficiency
0 references
finite sample size properties
0 references
0 references
