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A tail bootstrap procedure for estimating the tail Pareto-index

โœ Scribed by J.N. Bacro; M. Brito


Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
164 KB
Volume
71
Category
Article
ISSN
0378-3758

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Tail index estimation depends for its accuracy on a precise choice of the sample fraction, i.e., the number of extreme order statistics on which the estimation is based. A complete solution to the sample fraction selection is given by means of a two-step subsample bootstrap method. This method adapt