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Partially smooth tail-index estimation for small samples

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  • Samuel Müller
  • Houng Chhay

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Suggested Citation

  • Samuel Müller & Houng Chhay, 2011. "Partially smooth tail-index estimation for small samples," Computational Statistics, Springer, vol. 26(3), pages 491-505, September.
    • Handle: RePEc:spr:compst:v:26:y:2011:i:3:p:491-505
    DOI: 10.1007/s00180-010-0221-5
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Melanie Birke & Holger Dette, 2008. "A note on estimating a smooth monotone regression by combining kernel and density estimates," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 20(8), pages 679-691.
    4. Furrer, Reinhard & Naveau, Philippe, 2007. "Probability weighted moments properties for small samples," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 190-195, January.
    Full references (including those not matched with items on IDEAS)

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