Estimation of the tail index for lattice-valued sequences

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

zbMATH Keywords

consistencycentral limit theoremtail indexPickands estimatorHill estimatorDekkers-Einmahl-de Haan estimatordiscretized Pareto random variable

Mathematics Subject Classification ID

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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