Tail index and second-order parameters' semi-parametric estimation based on the log-excesses (Q3589967)
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scientific article; zbMATH DE number 5786694
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| English | Tail index and second-order parameters' semi-parametric estimation based on the log-excesses |
scientific article; zbMATH DE number 5786694 |
Statements
Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses (English)
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17 September 2010
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statistics of extremes
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heavy tails
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log-excesses
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semi-parametric estimation
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maximum likelihood
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survival analysis
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Monte Carlo simulation
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0.809417188167572
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0.8072837591171265
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0.8027665615081787
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0.8017793893814087
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