scientific article; zbMATH DE number 6751368

MaRDI QIDQ5283466zbMATH OpenFDO

Authors Pavlina Jordanova, M. Stehlík, Zdeněk Fabián, Luboš Střelec

Publication date 21 July 2017

Full work available at URL http://www.math.bas.bg/pliska/Pliska-22/Pliska-22-2013-089-108.pdf

zbMATH Keywords

point estimationasymptotic properties of estimatorstesting against heavy tails

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32)

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Cited in

(12)

• Weak asymptotic results for t-Hill estimator
• Estimation of the tail index for lattice-valued sequences
• Estimation for heavy tailed moving average process.
• Estimating a tail exponent by modelling departure from a Pareto distribution
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• Large deviations of tail estimators based on the Pareto approximation
• Monotonicity of the Hill estimator in finite samples
• Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
• Trend analysis of extreme values
• Detecting influential data points for the Hill estimator in Pareto-type distributions
• IPO estimation of heaviness of the distribution beyond regularly varying tails
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