Partially smooth tail-index estimation for small samples
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References listed on IDEAS
- Müller, Samuel & Rufibach, Kaspar, 2008. "On the max-domain of attraction of distributions with log-concave densities," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1440-1444, September.
- Huisman, Ronald, et al, 2001. "Tail-Index Estimates in Small Samples," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 208-216, April.
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KeywordsTail-index estimation; Small-sample performance; Monotone density estimation; Probability weighted moments; L-moments; Extreme-value theory;
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