Tail index estimation with a fixed tuning parameter fraction

DOI10.1016/J.JSPI.2015.08.005zbMATH Open1383.62154OpenAlexW1216217498MaRDI QIDQ899351FDOQ899351

Authors: Chaitra H. Nagaraja, Tucker S. McElroy 

Publication date: 28 December 2015

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.2015.08.005

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zbMATH Keywords

heavy tailsextreme value theorystable distributions

Mathematics Subject Classification ID

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

Cites Work

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• Penultimate approximations in statistics of extremes and reliability of large coherent systems

Cited In (4)

• Semiparametric Tail Index Regression
• Weighted least squares estimators for the Parzen tail index
• Tail index estimation, concentration and adaptivity
• On the measurement and treatment of extremes in time series

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