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Semiparametric lower bounds for tail-index estimation

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  • Beirlant, J.
  • Bouquiaux, C.
  • Werker, B.J.M.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Beirlant, J. & Bouquiaux, C. & Werker, B.J.M., 2006. "Semiparametric lower bounds for tail-index estimation," Other publications TiSEM 4f434455-72a7-4b68-b972-d, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:4f434455-72a7-4b68-b972-d75c78625737
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Csörgóo, Miklós & Horváth, Lajos, 1986. "Approximations of weighted empirical and quantile processes," Statistics & Probability Letters, Elsevier, vol. 4(6), pages 275-280, October.
    4. 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.
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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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