Statistical tests on tail index of a probability distribution
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Volume (Year): LXI (2003)
Issue (Month): 2 ()
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References listed on IDEAS
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- Jurecková, Jana & Koenker, Roger & Portnoy, Stephen, 2001. "Tail behavior of the least-squares estimator," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 377-384, December.
- He, Xuming, et al, 1990. "Tail Behavior of Regression Estimators and Their Breakdown Points," Econometrica, Econometric Society, vol. 58(5), pages 1195-1214, September.
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