A new approach on estimation of the tail index

Comptes Rendus Mathematique

Volumn 335, Issue 3, 2002, Pages 279-282

  Politis, Dimitris N ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038053130     PISSN: 1631073X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1631-073X(02)02450-0     Document Type: Article

References (5)

1. S. Csörgo, P. Deheuvels, D.M. Mason, Kernel estimates of the tail index of a distribution, Ann. Statist. 13 (1985) 1050-1077.
2. S. Csörgo, L. Viharos, Estimating the tail index, in: B. Szyszkowicz (Ed.), Asymptotic Methods in Probability and Statistics, North-Holland, Amsterdam, 1998, pp. 833-881.
3. P. Embrechts, C. Klüppelberg, T. Mikosch, Modelling Extremal Events, Springer, Berlin, 1997.
4. E. Giné, J. Zinn, Necessary conditions for the bootstrap of the mean, Ann. Statist. 17 (1990) 684-691.
5. T. McElroy, D.N. Politis, Robust inference for the mean in the presence of serial correlation and heavy tailed distributions, Econometric Theory, 2002, forthcoming.