Some results on the behaviour of hill's estimator

DOI10.1080/00949659908811957zbMath0942.62036OpenAlexW2092083966MaRDI QIDQ4262904

M. João Martins, M. Ivette Gomes, M. Manuela Neves

Publication date: 24 August 2000

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

Full work available at URL: https://doi.org/10.1080/00949659908811957

zbMATH Keywords

simulationtail indexHill's estimatorconvex mixtures

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items (5)

Averages of Hill estimators ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known ⋮ Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour ⋮ How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events

Cites Work

• Unnamed Item
• A simple general approach to inference about the tail of a distribution
• Efficiency of convex combinations of pickands estimator of the extreme value index
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics

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