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High-Frequency Tail Index Estimation by Nearly Tight Frames
High-Frequency Tail Index Estimation Nearly Tight Frames
2013/4/27
This work develops the asymptotic properties (weak consistency and Gaussianity), in the high-frequency limit, of approximate maximum likelihood estimators for the spectral parameters of Gaussian and i...
ESTIMATING PARETO TAIL INDEX BASED ON SAMPLE MEANS
domain of attraction Pareto index strong embedding of empirical process tailbehavior
2009/2/26
We propose an estimator of the Pareto tail index m of a distribution, that competes well with the Hill, Pickands and moment estimators. Unlike the above estimators,that are based only on the extreme o...
The estimation of the extreme-value index γ based on a sample of independent and
identically distributed random variables has received considerable attention in the
extreme-value literature. However...
PEAKS OVER RANDOM THRESHOLD METHODOLOGY FOR TAIL INDEX AND HIGH QUANTILE ESTIMATION
heavy tails high quantiles semi-parametric estimation linear property sample of excesses
2009/2/25
In this paper we present a class of semi-parametric high quantile estimators which
enjoy a desirable property in the presence of linear transformations of the data. Such
a feature is in accordance w...
LINKING PARETO-TAIL KERNEL GOODNESS-OFFIT STATISTICSWITH TAIL INDEX AT OPTIMAL THRESHOLD AND SECOND ORDER ESTIMATION
extreme value statistics Pareto-type distribution goodness-of-fit threshold selection
2009/2/25
In this paper the relation between goodness-of-fit testing and the optimal selection of
the sample fraction for tail estimation, for instance using Hill’s estimator, is examined.
We consider this pr...
MINIMUM-VARIANCE REDUCED-BIAS TAIL INDEX AND HIGH QUANTILE ESTIMATION
statistics of extremes tail index high quantiles second-order reduced-bias semi-parametric estimation third order framework
2009/2/25
Heavy tailed-models are quite useful in many fields, like insurance, finance, telecom-
munications, internet traffic, among others, and it is often necessary to estimate a
high quantile, i.e., a val...