Estimation of the third-order parameter in extreme value statistics
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References listed on IDEAS
- Armelle Guillou & Peter Hall, 2001. "A diagnostic for selecting the threshold in extreme value analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 293-305.
- Beirlant, Jan & Goegebeur, Yuri & Verlaak, Robert & Vynckier, Petra, 1998. "Burr regression and portfolio segmentation," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 231-250, December.
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KeywordsPareto-type distribution; Third-order parameter; Fourth-order condition; 62G20; 62G30; 62G32;
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