Estimation of the tail index in the max-aggregation scheme
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10986-012-9174-4.pdf
Reference14 articles.
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3. K. Gadeikis and V. Paulauskas, On the estimation of a change point in a tail index, Lith. Math. J., 45:272–283, 2005.
4. J. Jurečkova and M. Omelka, Estimator of the Pareto index based on non-parametric test, Commun. Stat., Theory Methods, 39:1536–1551, 2010.
5. J. Lamperti, On extreme order statistics, Ann. Math. Stat., 35:1726–1736, 1964.
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