Estimator of the Pareto index based on nonparametric test

DOI10.1080/03610920802311758MaRDI QIDQ3585256zbMATH OpenOpenAlexWikidataFDO

Authors Marek Omelka, Jana Jurečková

Publication date 19 August 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920802311758

zbMATH Keywords

asymptotic normalityPareto-type tail indexstrong consistency

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

• A class of tests on the tail index
• A simple general approach to inference about the tail of a distribution
• Approximation Theorems of Mathematical Statistics
• Estimating a tail exponent by modelling departure from a Pareto distribution
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• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• Kernel estimates of the tail index of a distribution
• Modelling extremal events for insurance and finance
• Statistics of Extremes

Cited in

(9)

• Weak limiting behaviour of a simple tail Pareto-index estimator
• Estimation of the tail index in the max-aggregation scheme
• Statistical Hypothesis Test for the Difference between Hirsch Indices of Two Pareto-Distributed Random Samples
• Estimating Pareto tail index based on sample means
• scientific article; zbMATH DE number 503319 (Why is no real title available?)
• scientific article; zbMATH DE number 850885 (Why is no real title available?)
• Estimates of the tail index based on nonparametric tests
• scientific article; zbMATH DE number 2246170 (Why is no real title available?)
• An estimator for the tail index of an integrated conditional Pareto-Weibull-type model

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