Generalized Pickands’ estimators for the tail index parameter and max-semistability

Author:

Canto e Castro Luísa,Dias Sandra

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability

Reference14 articles.

1. Ben Alaya, M., Huillet, T.: On max-multiscaling distributions as extended max-semistable ones. Stoch. Models 20(4), 493–512 (2004)

2. Canto e Castro, L., de Haan, L., Temido, M.G.: Rarely observed sample maxima. Theory Probab. Appl. 45, 779–782 (2002)

3. Canto e Castro, L., Dias, S.: Asymptotic distribution of certain statistics relevant to the fitting of max-semistable models, vol. 14. Notes and Communications, Center for Statistical Applications of the University of Lisbon (2006)

4. Canto e Castro, L., Dias, S., Temido, M.G.: Tail inference for a law in a max-semistable domain of attraction. Pliska Stud. Math. Bulgar. 19, 83–96 (2009)

5. Fraga Alves, M.I.: Estimation of the tail parameter in the domain of attraction of an extremal distribution. J. Stat. Plan. Inference 45, 143–173 (1995)

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1. Random fields and random sampling;Kybernetika;2020-03-01

2. Extreme Value Theory and Statistics of Univariate Extremes: A Review;International Statistical Review;2014-08-25

3. Looking for max-semistability: A new test for the extreme value condition;Journal of Statistical Planning and Inference;2011-09

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