A simple generalisation of the Hill estimator

DOI10.1016/j.csda.2012.07.019zbMath1365.62148OpenAlexW2120378200MaRDI QIDQ130015

M. Fátima Brilhante, M. Ivette Gomes, Dinis Pestana, Dinis Pestana, M. Fátima Brilhante, M. Ivette Gomes

Publication date: January 2013

Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.07.019

zbMATH Keywords

heavy tailsbias estimationstatistics of extremesoptimal levelssemi-parametric estimationbootstrap methodology

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

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