Smooth tail-index estimation
نویسندگان
چکیده
منابع مشابه
Smooth tail index estimation
Both parametric distribution functions appearing in extreme value theory the generalized extreme value distribution and the generalized Pareto distribution have log-concave densities if the extreme value index γ ∈ [−1, 0]. Replacing the order statistics in tail index estimators by their corresponding quantiles from the distribution function that is based on the estimated log-concave density f̂n ...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2009
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949650802142667