Estimation of the tail index for lattice-valued sequences
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Publication:2443884
DOI10.1007/s10687-012-0167-9zbMath1286.62049OpenAlexW2096869255MaRDI QIDQ2443884
Muneya Matsui, Thomas Mikosch, Laleh Tafakori
Publication date: 8 April 2014
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-012-0167-9
consistencycentral limit theoremtail indexPickands estimatorHill estimatorDekkers-Einmahl-de Haan estimatordiscretized Pareto random variable
Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
Related Items (2)
Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations ⋮ A note on the Cauchy-type mixture distributions
Cites Work
- Limit theorems for empirical processes of cluster functionals
- Laws of large numbers for sums of extreme values
- A simple general approach to inference about the tail of a distribution
- Almost sure convergence of the Hill estimator
- Heavy-Tail Phenomena
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