Reduced-bias tail index estimators under a third-order framework

Communications in Statistics - Theory and Methods

Volumn 38, Issue 7, 2009, Pages 1019-1040

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

^a UNIVERSIDADE NOVA DE LISBOA   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

^c INSTITUTO POLITÉCNICO DE TOMAR   (Portugal)

Author keywords

Bias estimation; Heavy tails; Semi parametric estimation; Statistics of extremes

Indexed keywords

BIAS ESTIMATION; DISTRIBUTIONAL PROPERTY; EXCHANGE RATES; FINITE SAMPLES; HEAVY-TAILS; MONTE CARLO TECHNIQUES; SECOND ORDERS; SEMI PARAMETRIC ESTIMATION; STATISTICS OF EXTREMES; TAIL INDEX; THIRD-ORDER;

ASYMPTOTIC ANALYSIS; MONTE CARLO METHODS; SAMPLING;

ESTIMATION;

EID: 77649335617     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610920802361415     Document Type: Article

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