An estimator of the tail index based on increment ratio statistics

DOI10.1007/s10986-009-9040-1zbMath1183.62085OpenAlexW2040692657MaRDI QIDQ1044758

Marijus Vaičiulis

Publication date: 15 December 2009

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-009-9040-1

zbMATH Keywords

central limit theoremdomain of attractiontail indexincrement ratio statistic

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (3)

Measuring the roughness of random paths by increment ratios ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic

Cites Work

• Measuring the roughness of random paths by increment ratios
• Moment-based tail index estimation
• A moment estimator for the index of an extreme-value distribution
• A robust estimator for the tail index of Pareto-type distributions
• Kernel estimates of the tail index of a distribution
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Asymptotic normality of least-squares estimators of tail indices
• A new estimator for a tail index
• Some remarks on the rate of convergence to stable laws
• Refined Pickands estimators of the extreme value index
• A more general central limit theorem for \(m\)-dependent random variables with unbounded \(m\)
• The increment ratio statistic
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