Semiparametric lower bounds for tail-index estimation
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References listed on IDEAS
- Frank Marohn, 1997. "Local Asymptotic Normality in Extreme Value Index Estimation," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(4), pages 645-666, December.
- Csörgóo, Miklós & Horváth, Lajos, 1986. "Approximations of weighted empirical and quantile processes," Statistics & Probability Letters, Elsevier, vol. 4(6), pages 275-280, October.
- L. De Haan & L. Peng, 1998. "Comparison of tail index estimators," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(1), pages 60-70, March.
- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
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- Haeusler, E. & Segers, J., 2005. "Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator," Other publications TiSEM e635c476-8fa8-4f16-8760-2, Tilburg University, School of Economics and Management.
- João Nicolau & Paulo M. M. Rodrigues, 2019. "A New Regression-Based Tail Index Estimator," The Review of Economics and Statistics, MIT Press, vol. 101(4), pages 667-680, October.
- Mercadier, Cécile & Soulier, Philippe, 2012. "Optimal rates of convergence in the Weibull model based on kernel-type estimators," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 548-556.
- Gardes, Laurent & Girard, Stéphane, 2016. "On the estimation of the functional Weibull tail-coefficient," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 29-45.
- Haeusler, E. & Segers, J., 2005. "Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator," Discussion Paper 2005-129, Tilburg University, Center for Economic Research.
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