scientific article; zbMATH DE number 1538084

MaRDI QIDQ4518947zbMATH OpenFDO

Authors S. Yu. Novak

Publication date 23 August 2001

zbMATH Keywords

ratio estimatorBerry-Esseen inequalitiesoptimal threshold

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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(7)

• Interval estimation for a measure of tail dependence
• Optimal semiparametric inference for the tail index based on ratios of the largest extremes
• scientific article; zbMATH DE number 5952112 (Why is no real title available?)
• Estimation of the maximal moment exponent of a GARCH(1,1) sequence
• Likelihood based confidence intervals for the tail index
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• An estimator of the tail index based on increment ratio statistics

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