Regression estimators for the tail index

DOI10.14232/ACTASM-020-361-6MaRDI QIDQ5013152zbMATH OpenOpenAlexFDO

Authors Amenah Al-Najafi, László Stachó, László Viharos

Publication date 27 November 2021

Published in Acta Scientiarum Mathematicarum (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.12634

zbMATH Keywords

quantile processtail indexPareto modelweighted least squares estimators

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05)

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Cited in

(2)

• Weighted least-squares estimators of tail indices
• Tail index regression

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