Efficient and robust estimation of tail parameters for Pareto and exponential models
Author:
Affiliation:
1. Département de mathématiques, Université du Québec à Montréal, Montréal (Québec), Canada
Publisher
Institute of Mathematical Statistics
Reference26 articles.
1. Vandewalle, B., Beirlant, J., Christmann, A. and Hubert, M. (2007). A robust estimator for the tail index of Pareto-type distributions. Computational Statistics & Data Analysis 51, 6252–6268.
2. Desgagné, A. (2013). Full robustness in Bayesian modelling of a scale parameter. Bayesian Analysis 8, 187–220.
3. Anscombe, F. J. (1960). Rejection of outliers. Technometrics 2, 123–146.
4. Bhattacharya, S., Kallitsis, M. and Stoev, S. (2019). Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data. Electronic Journal of Statistics 13, 1872–1925.
5. Brazauskas, V. and Serfling, R. (2000a). Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. North American Actuarial Journal 4, 12–27.
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