Using a Bootstrap Method to Choose the S
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J. Danielsson; L. de Haan; L. Peng; C.G. de Vries
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Article
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2001
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Elsevier Science
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English
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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