✦ LIBER ✦

A new approach on estimation of the tail index

✍ Scribed by Dimitris N. Politis

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 56 KB
Volume: 335
Category: Article
ISSN: 1631-073X
DOI: 10.1016/s1631-073x(02)02450-0

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Tail estimation of the stable index α

✍ S. Mittnik; S.T. Rachev 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 291 KB

A tail bootstrap procedure for estimatin

A tail bootstrap procedure for estimating the tail Pareto-index

✍ J.N. Bacro; M. Brito 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 164 KB

On the estimation of the Weibull tail co

On the estimation of the Weibull tail coefficient

✍ Michel Broniatowski 📂 Article 📅 1993 🏛 Elsevier Science 🌐 English ⚖ 789 KB

Weak limiting behaviour of a simple tail

Weak limiting behaviour of a simple tail Pareto-index estimator

✍ J.N. Bacro; M. Brito 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 391 KB

Bias reduction and explicit semi-paramet

Bias reduction and explicit semi-parametric estimation of the tail index

✍ M.Ivette Gomes; M.João Martins 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 737 KB

In this paper, and in a context of regularly varying tails, we analyse particular but interesting cases of the maximum likelihood and least squares estimators proposed by Feuerverger and Hall (Ann. Statist. 27 (1999) 760). All these estimators are alternatives to a well-known estimator of the tail i

Almost sure convergence of a tail index

Almost sure convergence of a tail index estimator in the presence of censoring

✍ Emmanuel Delafosse; Armelle Guillou 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 63 KB