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Semiparametric lower bounds for tail index estimation

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Author Info
Beirlant, J.
Bouquiaux, C.
Werker, B.J.M. (Tilburg University, Center for Economic Research)

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 65.

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Date of creation: 2001
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Handle: RePEc:dgr:kubcen:200165

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Related research
Keywords: semiparametric estimation;

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Frank Marohn, 1997. "Local Asymptotic Normality in Extreme Value Index Estimation," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(4), pages 645-666, December. [Downloadable!] (restricted)
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  1. Haeusler, Erich & Segers, Johan, 2005. "Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator," Discussion Paper 129, Tilburg University, Center for Economic Research. [Downloadable!]
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This page was last updated on 2009-11-25.

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