Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
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Publication:1003332
DOI10.1007/s10687-008-0059-1zbMath1164.62015OpenAlexW2136872669MaRDI QIDQ1003332
M. Ivette Gomes, Lígia Henriques-Rodrigues
Publication date: 28 February 2009
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-008-0059-1
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
Related Items (4)
Location invariant Weiss-Hill estimator ⋮ A class of unbiased location invariant Hill-type estimators for heavy tailed distributions ⋮ Asymptotic normality of location invariant heavy tail index estimator ⋮ Strong convergence bound of the Pareto index estimator under right censoring
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