Semiparametric Lower Bounds for Tail Index Estimation
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2001-65.
Date of creation: 2001
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indexation; semiparametric estimation;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- 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.
- Einmahl, J. & Dekkers, A. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Open Access publications from Tilburg University urn:nbn:nl:ui:12-125712, Tilburg University.
- 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.
- Haeusler, Erich, 2007. "Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator," Open Access publications from UniversitÃ© catholique de Louvain info:hdl:2078/114588, Université catholique de Louvain.
- Segers, Johan, 2002. "Abelian and Tauberian Theorems on the Bias of the Hill Estimator," Open Access publications from UniversitÃ© catholique de Louvain info:hdl:2078/114571, Université catholique de Louvain.
- 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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