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 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

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

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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