Partially smooth tail-index estimation for small samples

DOI10.1007/s00180-010-0221-5zbMath1304.65056MaRDI QIDQ2513368

Houng Chhay, Samuel Müller

Publication date: 28 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-010-0221-5

zbMATH Keywords

extreme-value theory; L-moments; tail-index estimation; probability weighted moments; small-sample performance; monotone density estimation

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

Uses Software

• KernSmooth
• LMOMENTS
• monoProc

Cites Work

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