A nonparametric estimator for the conditional tail index of Pareto-type distributions
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DOI: 10.1007/s00184-019-00723-8
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Cited by:
- Koki Momoki & Takuma Yoshida, 2024. "Hypothesis testing for varying coefficient models in tail index regression," Statistical Papers, Springer, vol. 65(6), pages 3821-3852, August.
- Paulo M.M. Rodrigues & Nicolau João, 2024. "A simple but powerful tail index regression," Working Papers w202412, Banco de Portugal, Economics and Research Department.
- Jo~ao Nicolau & Paulo M. M. Rodrigues, 2024. "A simple but powerful tail index regression," Papers 2409.13531, arXiv.org.
- Xiao Wang & Lihong Wang, 2024. "A tail index estimation for long memory processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 87(8), pages 947-971, November.
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Keywords
Tail index; Pareto-type model; Nonparametric regression; Local likelihood; Asymptotic normality;All these keywords.
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