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Limiting behaviour of a geometric-type estimator for tail indices

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  • Brito, Margarida
  • Moreira Freitas, Ana Cristina

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  • Brito, Margarida & Moreira Freitas, Ana Cristina, 2003. "Limiting behaviour of a geometric-type estimator for tail indices," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 211-226, October.
    • Handle: RePEc:eee:insuma:v:33:y:2003:i:2:p:211-226
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    References listed on IDEAS

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    1. de Haan, L. & Pereira, T. Themido, 1999. "Estimating the index of a stable distribution," Statistics & Probability Letters, Elsevier, vol. 41(1), pages 39-55, January.
    2. Csorgo, Miklos & Steinebach, Josef, 1991. "On the estimation of the adjustment coefficient in risk theory via intermediate order statistics," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 37-50, March.
    3. Schultze J. & Steinebach J., 1996. "On Least Squares Estimates Of An Exponential Tail Coefficient," Statistics & Risk Modeling, De Gruyter, vol. 14(4), pages 353-372, April.
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    Cited by:

    1. Brito, Margarida & Freitas, Ana Cristina Moreira, 2008. "Edgeworth expansion for an estimator of the adjustment coefficient," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 203-208, October.
    2. David Anthoff & Richard S. J. Tol, 2022. "Testing the Dismal Theorem," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 9(5), pages 885-920.
    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. Brito, Margarida & Moreira Freitas, Ana Cristina, 2006. "Weak convergence of a bootstrap geometric-type estimator with applications to risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 571-584, June.
    5. Brito, Margarida & Freitas, Ana Cristina Moreira, 2010. "Consistent estimation of the tail index for dependent data," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1835-1843, December.
    6. Ilić, Ivana, 2012. "On tail index estimation using a sample with missing observations," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 949-958.
    7. Richard S. J. Tol, 2023. "The climate niche of Homo Sapiens," Papers 2306.00002, arXiv.org.

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