scientific article; zbMATH DE number 3656951

zbMATH Open0422.62017MaRDI QIDQ3855962FDOQ3855962

Authors: Laurens De Haan, Sidney I. Resnick 

Publication date: 1980

Title of this publication is not available (Why is that?)

zbMATH Keywords

regular variationasymptotic estimatedomain of attractionindex of stable distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

Cited In (26)

• Parameter estimation for fractional Poisson processes
• Some sampling properties of empirical characteristic functions viewed as harmonizable stochastic processes
• On the estimation of a changepoint in a tail index
• A tail bootstrap procedure for estimating the tail Pareto-index
• Random weighting estimation of stable exponent
• On posterior consistency of tail index for Bayesian kernel mixture models
• Estimation problems for distributions with heavy tails
• Asymptotic distributions of linear combinations of intermediate order statistics
• \(K\)-record values and the extreme-value index
• Nonparametric inference of discretely sampled stable Lévy processes
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimating the index of a stable law via the pot-method
• Estimation of the index parameter for autoregressive data using the estimated innovations
• Inference for heavy tailed distributions
• Limiting behaviour of a geometric-type estimator for tail indices.
• A review of more than one hundred Pareto-tail index estimators
• Asymptotically efficient estimation of the index of regular variation
• An estimation procedure for the Linnik distribution
• Weak limiting behaviour of a simple tail Pareto-index estimator
• Classification of stochastic processes by convolutional neural networks
• A family of nonparametric unit root tests for processes driven by infinite variance innovations
• Parameter Estimation of Stable Distributions
• Empirical likelihood based inference for conditional Pareto-type tail index
• Dynamic tail inference with log-Laplace volatility
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Tail exponent estimation via broadband log density-quantile regression

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