Tail index estimation with a fixed tuning parameter fraction

DOI10.1016/J.JSPI.2015.08.005MaRDI QIDQ899351zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

heavy tailsextreme value theorystable distributions

Mathematics Subject Classification ID

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

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Cites work

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• The harmonic moment tail index estimator: asymptotic distribution and robustness
• The tail empirical process for long memory stochastic volatility sequences
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• Weighted least-squares estimators of tail indices

Cited in

(4)

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

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