Local-maximum-based tail index estimator
From MaRDI portal
Publication:2257586
DOI10.1007/s10986-014-9260-xzbMath1306.62072OpenAlexW2049844508MaRDI QIDQ2257586
Publication date: 25 February 2015
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-014-9260-x
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)
Related Items (2)
Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network ⋮ Inference of high quantiles of a heavy-tailed distribution from block data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Several modifications of DPR estimator of the tail index
- Moment-based tail index estimation
- On the tail index of a heavy tailed distribution
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- Optimal choice of sample fraction in extreme-value estimation
- A new estimator for a tail index
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- Selecting the optimal sample fraction in univariate extreme value estimation
- Estimation of the tail index in the max-aggregation scheme
- More on \(p\)-stable convex sets in Banach spaces
- On the estimation of the heavy-tail exponent in time series using the max-spectrum
- Basic properties and prediction of max-ARMA processes
- The integrals in Gradshteyn and Rhyzik. Part 2: Elementary logarithmic integrals
- Two central limit problems for dependent random variables
- Comparison of tail index estimators
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Testing the Gumbel hypothesis by Galton's ratio
This page was built for publication: Local-maximum-based tail index estimator