Weak convergence of the empirical mean excess process with application to estimate the negative tail index

Methodology and Computing in Applied Probability

Volumn 10, Issue 4, 2008, Pages 577-593

  Hüsler, Jürg ^a   Li, Deyuan ^a  

^a UNIVERSITY OF BERN   (Switzerland)

Author keywords

Empirical mean excess process; Goodness of fit test; Linear regression; Mean excess function; Tail index

Indexed keywords

EID: 53849100672     PISSN: 13875841     EISSN: 15737713     Source Type: Journal    
DOI: 10.1007/s11009-007-9065-z     Document Type: Article

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