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

zbMATH Keywords

bias reductionheavy tailsextreme value theoryleast squares estimatorrandom difference equationstail exponent estimation

Mathematics Subject Classification ID

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)

Second order properties of distribution tails and estimation of tail exponents in random difference equations ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Jump tails, extreme dependencies, and the distribution of stock returns

Cites Work

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• Tail index estimation and an exponential regression model
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• The qq-estimator and heavy tails
• Some results on the behaviour of hill's estimator
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• Statistical Size Distributions in Economics and Actuarial Sciences
• Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents
• Products of distribution functions attracted to extreme value laws
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