The method of moments ratio estimator for the tail shape parameter

DOI10.1080/03610929608831727MaRDI QIDQ4337152zbMATH OpenOpenAlexFDO

Authors Dennis W. Jansen, J. Danielsson, Casper G. de Vries

Publication date 19 May 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL http://repub.eur.nl/pub/12408

zbMATH Keywords

biasmethod of momentsHill estimator

Mathematics Subject Classification ID

Point estimation (62F10)

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Cites work

• A simple general approach to inference about the tail of a distribution
• Best attainable rates of convergence for estimates of parameters of regular variation
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS

Cited in

(22)

• A simple estimator for the characteristic exponent of the stable Paretian distribution
• Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
• Sequential monitoring of the tail behavior of dependent data
• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
• Lehmer's mean-of-order-\(p\) extreme value index estimation: a simulation study and applications
• Comparison of the several parameterized estimators for the positive extreme value index
• Reduced bias estimation of the shape parameter of the log-logistic distribution
• A review of more than one hundred Pareto-tail index estimators
• Extreme-value analysis of teletraffic data
• The moment estimates order promotion of the financial asset returns ``fat tail distribution shape parameter based on second order expansion form
• Change point tests for the tail index of \(\beta\)-mixing random variables
• Semi-parametric regression estimation of the tail index
• On an improvement of Hill and some other estimators
• A tail estimator for the index of the stable paretian distribution^∗
• The Hill estimators under power normalization
• A class of semiparametric tail index estimators and its applications
• Subsampling the distribution of diverging statistics with applications to finance
• Consistent estimation of the tail index for dependent data
• A class of new tail index estimators
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
• The estimations under power normalization for the tail index, with comparison
• On tail index estimation based on multivariate data

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