Estimating a tail exponent by modelling departure from a Pareto distribution
From MaRDI portal
Publication:1970488
DOI10.1214/aos/1018031215zbMath0942.62059MaRDI QIDQ1970488
Hall, Peter, Andrey Feuerverger
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
order statistics; bias reduction; regular variation; maximum likelihood; extreme-value theory; regression; peaks-over-threshold; log-spacings; spacings Zipf's law
62G30: Order statistics; empirical distribution functions
62G32: Statistics of extreme values; tail inference
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