Estimating a tail exponent by modelling departure from a Pareto distribution
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DOI10.1214/AOS/1018031215zbMATH Open0942.62059OpenAlexW1544520332MaRDI QIDQ1970488FDOQ1970488
Authors: Andrey Feuerverger, Peter Hall 
Publication date: 7 June 2000
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1018031215
Recommendations
maximum likelihoodregressionbias reductionpeaks-over-thresholdregular variationorder statisticsextreme-value theorylog-spacingsspacings Zipf's law
Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
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Cited In (only showing first 100 items - show all)
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- Robust and bias-corrected estimation of the probability of extreme failure sets
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- Premium Calculation for Fat-tailed Risk
- Parameter estimation for one-sided heavy-tailed distributions
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
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