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

DOI10.1016/J.JSPI.2010.01.046zbMATH Open1184.62074OpenAlexW2010697530MaRDI QIDQ963889FDOQ963889

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

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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)

Cites Work

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• Asymptotic normality of least-squares estimators of tail indices
• Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
• Second order properties of distribution tails and estimation of tail exponents in random difference equations

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
• Title not available (Why is that?)

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