Robust estimator of conditional tail expectation of Pareto-type distribution (Q2223161)
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scientific article; zbMATH DE number 7303004
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| English | Robust estimator of conditional tail expectation of Pareto-type distribution |
scientific article; zbMATH DE number 7303004 |
Statements
Robust estimator of conditional tail expectation of Pareto-type distribution (English)
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28 January 2021
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conditional tail expectation
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t-Hill estimator
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tail index
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heavy-tailed distribution
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robust estimator
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0.8983829617500305
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0.8524629473686218
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0.8302549719810486
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0.8189131021499634
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