Asymptotic properties of generalized DPR statistic

DOI10.1007/S10986-012-9158-4zbMATH Open1322.62095OpenAlexW2001802275MaRDI QIDQ392996FDOQ392996

Authors: Marijus Vaičiulis 

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-012-9158-4

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• Asymptotic analysis of generalized Greenwood statistics for very heavy tails
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zbMATH Keywords

asymptotic normalityHill estimatortail indexPickands estimatorDPR estimatormean-squared error

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05)

Cites Work

• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Comparison of tail index estimators
• A moment estimator for the index of an extreme-value distribution
• On the estimation of the parameters of multivariate stable distributions
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• A new estimator for a tail index
• A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
• Several modifications of DPR estimator of the tail index
• A class of asymptotically unbiased semi-parametric estimators of the tail index.
• More on \(p\)-stable convex sets in Banach spaces
• On the tail index of a heavy tailed distribution

Cited In (5)

• Location invariant heavy tail index estimation with block method
• Asymptotic analysis of generalized Greenwood statistics for very heavy tails
• A review of more than one hundred Pareto-tail index estimators
• An estimator of heavy tail index through the generalized jackknife methodology
• Inference of high quantiles of a heavy-tailed distribution from block data

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