Optimal choice of sample fraction in univariate financial tail index estimation (Q5123676)
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scientific article; zbMATH DE number 7252563
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal choice of sample fraction in univariate financial tail index estimation |
scientific article; zbMATH DE number 7252563 |
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Optimal choice of sample fraction in univariate financial tail index estimation (English)
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29 September 2020
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heavy-tailed distribution
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Hill estimator
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goodness-of-fit test
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structural change
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