Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known

DOI10.1016/J.JSPI.2010.01.046MaRDI QIDQ963889zbMATH OpenOpenAlexFDO

Authors Changryong Baek, Vladas Pipiras

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

zbMATH Keywords

heavy tailsextreme value theorybias reductionleast squares estimatorrandom difference equationstail exponent estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Statistics of extreme values; tail inference (62G32)

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Cited in

(6)

• On the estimation of the second order parameter for heavy-tailed distributions
• Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
• A review of more than one hundred Pareto-tail index estimators
• Second order properties of distribution tails and estimation of tail exponents in random difference equations
• Jump tails, extreme dependencies, and the distribution of stock returns
• scientific article; zbMATH DE number 6719661 (Why is no real title available?)

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