On tail parameter estimation in certain point process models

DOI10.1016/S0378-3758(96)00128-0zbMATH Open0874.60040WikidataQ126382692 ScholiaQ126382692MaRDI QIDQ1361753FDOQ1361753

Authors: R. Höpfner 

Publication date: 2 November 1997

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

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zbMATH Keywords

optimalityHill estimatortail parametersneighbourhoods of a parametric model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• A simple general approach to inference about the tail of a distribution
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• Kernel estimates of the tail index of a distribution
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• Approximate distributions of order statistics. With applications to nonparametric statistics
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• On asymptotic normality of Hill's estimator for the exponent of regular variation
• A note on estimation for gamma and stable processes
• Poisson approximation of empirical processes
• Best attainable rates of convergence for estimates of parameters of regular variation
• Asymptotic inference about a density function at an end of its range
• Title not available (Why is that?)
• Two comments on parameter estimation in stable processes

Cited In (4)

• Estimation of certain parameters of a stationary hybrid process involving a time series and a point process
• Estimating the index of a stable law via the pot-method
• Partial self-exciting point processes and their parameter estimations
• Estimating a Stability Parameter: Asymptotics and Simulations

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