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Estimating the tail index

Published:1998 Issue: Volume: Page:833-881
ISSN:
Container-title:Asymptotic Methods in Probability and Statistics
language:
Short-container-title:

Author:

Csörgő Sándor,Viharos László

Publisher

Elsevier

Reference139 articles.

1. Das Gesetz der Bevölkerungskonzentration;Auerbach;Dr. A. Petermanns Mitteilungen aus Justus Perthes' Geographischer Anstalt,1913

2. Weak limiting behavior of a simple Pareto-index estimator;Bacro;J. Statist. Plann. Inference,1995

3. Residual life time at great age;Balkema;Ann. Probab.,1974

4. The asymptotic behavior of Hill's estimator;Beirlant;Theor. Probab. Appl.,1987

5. Asymptotic normality of Hill's estimator;Beirlant,1989

Cited by 42 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A new test for tail index with application to Danish fire loss data;Journal of Statistical Computation and Simulation;2021-07-21

2. Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection;Mathematics;2020-01-11

3. Simple tail index estimation for dependent and heterogeneous data with missing values;Brazilian Journal of Probability and Statistics;2019-02-01

4. Tail Distribution and Extreme Quantile Estimation Using Non-parametric Approaches;Lecture Notes in Computer Science;2019

5. References;Fundamental Statistical Inference;2018-09-08

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