๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

On the Estimation of a Changepoint in a Tail Index

โœ Scribed by K. Gadeikis; V. Paulauskas


Publisher
Springer
Year
2005
Tongue
English
Weight
228 KB
Volume
45
Category
Article
ISSN
0363-1672

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Using a Bootstrap Method to Choose the S
โœ J. Danielsson; L. de Haan; L. Peng; C.G. de Vries ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 163 KB

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