Tail index estimation for heavy tails: Accommodation of bias in the excesses over a high threshold

Extremes

Volumn 11, Issue 3, 2008, Pages 303-328

  Gomes, M Ivette ^a   Rodrigues, Lígia Henriques ^b,c  

^a UNIVERSITY OF LISBON   (Portugal)

^b INSTITUTO POLITÉCNICO DE TOMAR   (Portugal)

^c Center of Statistics Applications of Lisbon University CEAUL   (Portugal)

Author keywords

Generalized Pareto models; Maximum likelihood estimation; Semi parametric estimation; Statistics of extremes

Indexed keywords

EID: 49249111136     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-008-0059-1     Document Type: Article

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