Estimating the First‐ and Second‐Order Parameters of a Heavy‐Tailed Distribution
暂无分享,去创建一个
Liang Peng | Yongcheng Qi | L. Peng | Y. Qi
[1] Jón Dańıelsson,et al. The Cost of Conservatism: , 2000 .
[2] László Viharos,et al. Asymptotic normality of least-squares estimators of tail indices , 1997 .
[3] Armelle Guillou,et al. A diagnostic for selecting the threshold in extreme value analysis , 2001 .
[4] Peter Hall,et al. Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems , 1990 .
[5] Paul Deheuvels,et al. Kernel Estimates of the Tail Index of a Distribution , 1985 .
[6] Gennady Samorodnitsky,et al. LIVING ON THE EDGE , 2005 .
[7] P. Hall,et al. Estimating a tail exponent by modelling departure from a Pareto distribution , 1999 .
[8] A. Dekkers,et al. Optimal choice of sample fraction in extreme-value estimation , 1993 .
[9] Jan Beirlant,et al. Tail Index Estimation and an Exponential Regression Model , 1999 .
[10] J. Teugels,et al. Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics , 1996 .
[11] L. Haan,et al. Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation , 2000 .
[12] L. Haan,et al. A moment estimator for the index of an extreme-value distribution , 1989 .
[13] Peter Hall,et al. On the estimation of extreme tail probabilities , 1997 .
[14] Edgar Kaufmann,et al. Selecting the optimal sample fraction in univariate extreme value estimation , 1998 .
[15] Peter Hall,et al. On Estimating the Endpoint of a Distribution , 1982 .
[16] P. Hall. On Some Simple Estimates of an Exponent of Regular Variation , 1982 .
[17] A. McNeil. Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory , 1997, ASTIN Bulletin.
[18] I. Weissman. Estimation of Parameters and Large Quantiles Based on the k Largest Observations , 1978 .
[19] U. Stadtmüller,et al. Generalized regular variation of second order , 1996, Journal of the Australian Mathematical Society. Series A. Pure Mathematics and Statistics.
[20] Alan H. Welsh,et al. Adaptive Estimates of Parameters of Regular Variation , 1985 .
[21] Jón Dańıelsson,et al. Tail Index and Quantile Estimation with Very High Frequency Data , 1997 .
[22] B. M. Hill,et al. A Simple General Approach to Inference About the Tail of a Distribution , 1975 .
[23] D. Mason. Laws of Large Numbers for Sums of Extreme Values , 1982 .
[24] Liang Peng,et al. Comparison of tail index estimators , 1998 .