Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
DOI10.1016/j.jspi.2010.01.046zbMath1184.62074OpenAlexW2010697530MaRDI QIDQ963889
Vladas Pipiras, Changryong Baek
Publication date: 14 April 2010
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.2010.01.046
bias reductionheavy tailsextreme value theoryleast squares estimatorrandom difference equationstail exponent estimation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)
Related Items (3)
Cites Work
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