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A New Estimator for a Tail Index
Acta Applicandae Mathematica, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A Heuristic Procedure to Estimate the Tail Index
2014 14th International Conference on Computational Science and Its Applications, 2014The estimation of the tail index is a very important issue within extreme value theory. Semi-parametric estimators usually require the choice of the number k of upper order statistics to use in the estimation, which is a difficult problem to handle. Here it is applied a heuristic graphical method to well-known semi-parametric tail index estimators and ...
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Bayesian Estimation of a Tail-Index with Marginalized Threshold
ICASSP 2021 - 2021 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2021In this paper, we develop a new method for estimating the tail-index found in extreme value statistics. Using a fixed quantile, model-selection approach, we derive the posterior distribution of the tail-index marginalizing out the unknown threshold and nuisance parameters. Our marginalized threshold method relies on a spliced likelihood density for the
Douglas E. Johnston, Petar M. Djuric
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A tail bootstrap procedure for estimating the tail Pareto-index
Journal of Statistical Planning and Inference, 1998zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bacro, J. N., Brito, M.
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Comparison of tail index estimators
Statistica Neerlandica, 1998We compare various estimators for the index of distribution functions with regularly varying tails by calculating their asymptotic mean squared errors after choosing the optimal number of upper order statistics involved (which is different for different estimators).
de Haan, Laurens, Peng, L (Liang)
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On the tail index inference for heavy-tailed GARCH-type innovations
Annals of the Institute of Statistical Mathematics, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kim, Moosup, Lee, Sangyeol
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Tail Index Estimation and an Exponential Regression Model
Extremes, 1999A regression model for spacings of extreme order statistics from a Pareto type distribution is proposed. Namely, let \(X_1, X_2,\dots,X_n,\dots\) be a sequence of positive independent and identically distributed random variables with distribution function \(F.\) It is supposed that \(F\) is of Pareto type, i.e. there exists a positive constant \(\gamma\
Beirlant, J. +3 more
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Likelihood Based Confidence Intervals for the Tail Index
Extremes, 2002Let \(X_{1},\ldots,X_{n}\) be i.i.d. observations with distribution function \(F\) satisfying \(\lim_{t\to\infty} [1-F(tx)]/[1-F(t)]= x^{-1/\gamma}\), for all \(x>0\), where the parameter \(1/\gamma>0\) is called tail index. This paper investigates two methods, namely the empirical likelihood method and a parametric likelihood method, for constructing ...
Lu, Jye-Chyi, Peng, Liang
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Robustness of Tail Index Estimation
Journal of Computational and Graphical Statistics, 1999Abstract The implementation of the Hill estimator, which estimates the heaviness of the tail of a distribution, requires a choice of the number of extreme observations in the tails, r from a sample of size n where 2 ≤ r + 1 ≤ n. This article is concerned with a robust procedure of choosing an optimal r. Thus, an estimation procedure, δ s , based on the
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Local-maximum-based tail index estimator*
Lithuanian Mathematical Journal, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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