Limiting behaviour of a geometric-type estimator for tail indices.
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Publication:1423351
DOI10.1016/S0167-6687(03)00135-5zbMath1104.62310MaRDI QIDQ1423351
Ana Cristina Moreira Freitas, Margarida Brito
Publication date: 14 February 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Parameter estimationtail indicesLeast squares estimatorsAdjustment coefficientUniversal asymptotic normality
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)
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Consistent estimation of the tail index for dependent data ⋮ On tail index estimation using a sample with missing observations ⋮ An enhanced method for tail index estimation under missingness ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Edgeworth expansion for an estimator of the adjustment coefficient ⋮ Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
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- On Some alternative estimates of the adjustment coefficient in risk theory
- Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
- Confidence bounds for the adjustment coefficient
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