Tail index estimation with a fixed tuning parameter fraction
From MaRDI portal
Publication:899351
DOI10.1016/j.jspi.2015.08.005zbMath1383.62154OpenAlexW1216217498MaRDI QIDQ899351
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
Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32)
Related Items
Weighted least squares estimators for the Parzen tail index ⋮ On the measurement and treatment of extremes in time series
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Tail index estimation in the presence of long-memory dynamics
- The tail empirical process for long memory stochastic volatility sequences
- On the favorable estimation for fitting heavy tailed data
- Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
- A moment estimator for the index of an extreme-value distribution
- Tail exponent estimation via broadband log density-quantile regression
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Optimal choice of sample fraction in extreme-value estimation
- Asymptotic normality of least-squares estimators of tail indices
- Generalized least-squares estimators for the thickness of heavy tails
- Approximation by penultimate extreme value distributions
- Penultimate approximations in statistics of extremes and reliability of large coherent systems
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- On Choosing an Estimate of the Spectral Density Function of a Stationary Time Series
- Comparison of tail index estimators
- Simple Robust Testing of Regression Hypotheses
- Asymptotic Behavior of Central Order Statistics under Monotone Normalization
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
