Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
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Publication:3631443
DOI10.1111/j.1467-9868.2007.00620.xzbMath1400.62318MaRDI QIDQ3631443
M. Ivette Gomes, Lígia Henriques-Rodrigues, Laurens De Haan
Publication date: 10 June 2009
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9868.2007.00620.x
62P20: Applications of statistics to economics