Moment-based tail index estimation

DOI10.1016/J.JSPI.2006.04.002MaRDI QIDQ872094zbMATH OpenOpenAlexFDO

Authors Dimitris Politis, Tucker S. McElroy

Publication date 27 March 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.04.002

zbMATH Keywords

tablesheavy tailssubsamplingdomains of attraction

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3094627 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• A new approach on estimation of the tail index
• A simple general approach to inference about the tail of a distribution
• A simple robust estimation method for the thickness of heavy tails
• Absolute Estimates of the Rate of Convergence to Stable Laws
• Kernel estimates of the tail index of a distribution
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Statistical inference using extreme order statistics
• The local limit problem and Hölder-continuity

Cited in

(20)

• Comparison of the several parameterized estimators for the positive extreme value index
• scientific article; zbMATH DE number 5147265 (Why is no real title available?)
• Local-maximum-based tail index estimator
• A new approach on estimation of the tail index
• Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
• Tail index estimation based on survey data
• A review of more than one hundred Pareto-tail index estimators
• Tail exponent estimation via broadband log density-quantile regression
• Testing for (in)finite moments
• Tail index estimation, concentration and adaptivity
• Nonparametric analysis of extremes on web graphs: PageRank versus max-linear model
• Extremal properties of evolving networks: local dependence and heavy tails
• On the estimation of the heavy-tail exponent in time series using the max-spectrum
• An adaptive optimal estimate of the tail index for MA(1) time series
• Modification of moment-based tail index estimator: sums versus maxima
• Semi-parametric regression estimation of the tail index
• Strong consistency of the Crovella estimation for the tail index of regular variation heavy-tailed distributions
• Consistent estimation of the tail index for dependent data
• On the measurement and treatment of extremes in time series
• An estimator of the tail index based on increment ratio statistics

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Uses Software

• longmemo

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