Asymptotic properties of generalized DPR statistic

DOI10.1007/s10986-012-9158-4zbMath1322.62095MaRDI QIDQ392996

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

zbMATH Keywords

asymptotic normality; tail index; Pickands estimator; Hill estimator; mean-squared error; DPR estimator

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60F05: Central limit and other weak theorems

62G32: Statistics of extreme values; tail inference

Related Items

Location invariant heavy tail index estimation with block method, Inference of high quantiles of a heavy-tailed distribution from block data, A review of more than one hundred Pareto-tail index estimators, An estimator of heavy tail index through the generalized jackknife methodology

Cites Work

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