Tail index estimation for heavy-tailed models: Accommodation of bias in weighted log-excesses

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 70, Issue 1, 2008, Pages 31-52

  Gomes, M Ivette ^a,c   De Haan, Laurens ^a,b   Rodrigues, Lígia Henriques ^a  

^a UNIVERSITY OF LISBON   (Portugal)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^c UNIVERSITY OF LISBON   (Portugal)

Author keywords

Heavy tails; Log excesses; Maximum likelihood; Semiparametric estimation; Statistics of extremes

Indexed keywords

EID: 37849040464     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/j.1467-9868.2007.00620.x     Document Type: Article

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