“Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution,” Vytaras Brazauskas and Robert Serfling, October 2000.
From MaRDI portal
Publication:5718227
DOI10.1080/10920277.2001.10596004zbMath1083.62523MaRDI QIDQ5718227
Publication date: 13 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2001.10596004
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F10: Point estimation
62F35: Robustness and adaptive procedures (parametric inference)
62G32: Statistics of extreme values; tail inference
Related Items
Pareto Tail Index Estimation Revisited, “Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution,” Vytaras Brazauskas and Robert Serfling, October 2000.
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