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A class of asymptotically unbiased semi-parametric estimators of the tail index

Author

Listed:
  • Frederico Caeiro
  • M. Ivette Gomes

Abstract

No abstract is available for this item.

Suggested Citation

  • Frederico Caeiro & M. Ivette Gomes, 2002. "A class of asymptotically unbiased semi-parametric estimators of the tail index," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 11(2), pages 345-364, December.
    • Handle: RePEc:spr:testjl:v:11:y:2002:i:2:p:345-364
    DOI: 10.1007/BF02595711
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    Cited by:

    1. Cai, J., 2012. "Estimation concerning risk under extreme value conditions," Other publications TiSEM a92b089f-bc4c-41c2-b297-c, Tilburg University, School of Economics and Management.
    2. M. Gomes & Fernanda Figueiredo, 2006. "Bias reduction in risk modelling: Semi-parametric quantile estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(2), pages 375-396, September.
    3. Igor Fedotenkov, 2020. "A Review of More than One Hundred Pareto-Tail Index Estimators," Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
    4. Gardes, Laurent & Girard, Stéphane, 2008. "A moving window approach for nonparametric estimation of the conditional tail index," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2368-2388, November.

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