Semi-parametric regression estimation of the tail index

DOI10.1214/18-EJS1394zbMath1387.62068OpenAlexW2786734263MaRDI QIDQ1697475

Maria Michela Dickson, Mofei Jia, Emanuele Taufer

Publication date: 20 February 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1518426109

zbMATH Keywords

regular variationheavy-tailed distributionstail indexempirical characteristic functionZipf's law

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to social sciences (62P25) Statistics of extreme values; tail inference (62G32)

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