On tail parameter estimation in certain point process models

DOI10.1016/S0378-3758(96)00128-0MaRDI QIDQ1361753zbMATH OpenWikidataFDO

Authors R. Höpfner

Publication date 2 November 1997

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

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)

Recommendations

• Semiparametric lower bounds for tail index estimation
• Two comments on parameter estimation in stable processes
• Some results on estimation of the tail index of a distribution

Cites work

• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
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• scientific article; zbMATH DE number 3938249 (Why is no real title available?)
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• A note on estimation for gamma and stable processes
• A simple general approach to inference about the tail of a distribution
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Asymptotic inference about a density function at an end of its range
• Best attainable rates of convergence for estimates of parameters of regular variation
• Kernel estimates of the tail index of a distribution
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Poisson approximation of empirical processes
• Two comments on parameter estimation in stable processes

Cited in

(4)

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

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