Detecting influential data points for the Hill estimator in Pareto-type distributions
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
- Michal Brzezinski, 2016. "Robust estimation of the Pareto tail index: a Monte Carlo analysis," Empirical Economics, Springer, vol. 51(1), pages 1-30, August.
More about this item
KeywordsPareto-type distribution; Extreme value index; Tail index estimation; Influential data points; Robustness;
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