scholarly journals Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation

2001 ◽  
Vol 76 (2) ◽  
pp. 226-248 ◽  
Author(s):  
J. Danielsson ◽  
L. de Haan ◽  
L. Peng ◽  
C.G. de Vries
Keyword(s):  
Bootstrap Method ◽  
Tail Index ◽  
Tail Index Estimation ◽  
Index Estimation ◽  
Sample Fraction

Tail index estimation for heavy tails: accommodation of bias in the excesses over a high threshold

Extremes ◽  
2008 ◽  
Vol 11 (3) ◽  
pp. 303-328 ◽  
Author(s):  
M. Ivette Gomes ◽  
Lígia Henriques Rodrigues
Keyword(s):  
Heavy Tails ◽  
Tail Index ◽  
High Threshold ◽  
Tail Index Estimation ◽  
Index Estimation

Location-invariant reduced-bias tail index estimation under a third-order framework

2017 ◽  
Vol 12 (2) ◽  
pp. 206-230
Author(s):  
Lígia Henriques-Rodrigues ◽  
M. Ivette Gomes
Keyword(s):  
Tail Index ◽  
Third Order ◽  
Tail Index Estimation ◽  
Index Estimation

scholarly journals On tail index estimation based on multivariate data

2015 ◽  
Vol 28 (1) ◽  
pp. 152-176 ◽  
Author(s):  
A. Dematteo ◽  
S. Clémençon
Keyword(s):  
Multivariate Data ◽  
Tail Index ◽  
Tail Index Estimation ◽  
Index Estimation

scholarly journals Smooth tail-index estimation

2009 ◽  
Vol 79 (9) ◽  
pp. 1155-1167 ◽  
Author(s):  
Samuel Müller ◽  
Kaspar Rufibach
Keyword(s):  
Tail Index ◽  
Tail Index Estimation ◽  
Index Estimation

Tail index estimation with a fixed tuning parameter fraction

2016 ◽  
Vol 170 ◽  
pp. 27-45 ◽  
Author(s):  
Tucker McElroy ◽  
Chaitra H. Nagaraja
Keyword(s):  
Tail Index ◽  
Tuning Parameter ◽  
Tail Index Estimation ◽  
Index Estimation

scholarly journals Tail index estimation based on survey data

2015 ◽  
Vol 19 ◽  
pp. 28-59 ◽  
Author(s):  
Patrice Bertail ◽  
Emilie Chautru ◽  
Stéphan Clémençon
Keyword(s):  
Survey Data ◽  
Tail Index ◽  
Tail Index Estimation ◽  
Index Estimation
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