Moment-based tail index estimation

DOI10.1016/J.JSPI.2006.04.002MaRDI QIDQ872094zbMATH OpenOpenAlexFDO

Authors Dimitris Politis, Tucker S. McElroy

Publication date 27 March 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.04.002

zbMATH Keywords

tablesheavy tailssubsamplingdomains of attraction

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3094627 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• A new approach on estimation of the tail index
• A simple general approach to inference about the tail of a distribution
• A simple robust estimation method for the thickness of heavy tails
• Absolute Estimates of the Rate of Convergence to Stable Laws
• Kernel estimates of the tail index of a distribution
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Statistical inference using extreme order statistics
• The local limit problem and Hölder-continuity

Cited in

(20)

• Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
• An adaptive optimal estimate of the tail index for MA(1) time series
• A new approach on estimation of the tail index
• Nonparametric analysis of extremes on web graphs: PageRank versus max-linear model
• Tail index estimation based on survey data
• Extremal properties of evolving networks: local dependence and heavy tails
• Local-maximum-based tail index estimator
• Modification of moment-based tail index estimator: sums versus maxima
• On the estimation of the heavy-tail exponent in time series using the max-spectrum
• Comparison of the several parameterized estimators for the positive extreme value index
• An estimator of the tail index based on increment ratio statistics
• A review of more than one hundred Pareto-tail index estimators
• Strong consistency of the Crovella estimation for the tail index of regular variation heavy-tailed distributions
• Tail index estimation, concentration and adaptivity
• Semi-parametric regression estimation of the tail index
• scientific article; zbMATH DE number 5147265 (Why is no real title available?)
• Testing for (in)finite moments
• On the measurement and treatment of extremes in time series
• Consistent estimation of the tail index for dependent data
• Tail exponent estimation via broadband log density-quantile regression

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Uses Software

• longmemo

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