Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses

DOI10.1080/00949650902755178zbMath1195.62069MaRDI QIDQ3589967

Hugo Pereira, M. Ivette Gomes, Dinis Pestana, Lígia Henriques-Rodrigues

Publication date: 17 September 2010

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650902755178

zbMATH Keywords

survival analysis; Monte Carlo simulation; heavy tails; maximum likelihood; statistics of extremes; semi-parametric estimation; log-excesses

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62P10: Applications of statistics to biology and medical sciences; meta analysis

62G05: Nonparametric estimation

62G32: Statistics of extreme values; tail inference

92C50: Medical applications (general)

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