Moment-based tail index estimation

DOI10.1016/J.JSPI.2006.04.002zbMATH Open1107.62039OpenAlexW2079085524MaRDI QIDQ872094FDOQ872094

Tucker S. McElroy, Dimitris Politis

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)

Cites Work

• Title not available (Why is that?)
• Statistical inference using extreme order statistics
• Title not available (Why is that?)
• A simple general approach to inference about the tail of a distribution
• A simple robust estimation method for the thickness of heavy tails
• A moment estimator for the index of an extreme-value distribution
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Kernel estimates of the tail index of a distribution
• A new approach on estimation of the tail index
• Absolute Estimates of the Rate of Convergence to Stable Laws
• The local limit problem and Hölder-continuity
• Title not available (Why is that?)

Cited In (17)

• 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
• Tail index estimation based on survey data
• Extremal properties of evolving networks: local dependence and heavy tails
• Local-maximum-based tail index estimator
• Comparison of the several parameterized estimators for the positive extreme value index
• A review of more than one hundred Pareto-tail index estimators
• An estimator of the tail index based on increment ratio statistics
• Nonparametric Analysis of Extremes on Web Graphs: PageRank Versus Max-Linear Model
• Tail index estimation, concentration and adaptivity
• Semi-parametric regression estimation of the tail index
• Title not available (Why is that?)
• 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

Uses Software

• longmemo

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