A robust prediction error criterion for pareto modelling of upper tails
From MaRDI portal
Publication:5295957
DOI10.1002/cjs.5550340406zbMath1115.62056MaRDI QIDQ5295957
Maria-Pia Victoria-Feser, Debbie J. Dupuis
Publication date: 31 July 2007
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.5550340406
robustness; income distribution; tail index; regression; value at risk; extreme value; M-estimator; Pareto model
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F35: Robustness and adaptive procedures (parametric inference)
62G32: Statistics of extreme values; tail inference
