Tail index and second-order parameters' semi-parametric estimation based on the log-excesses

Journal of Statistical Computation and Simulation

Volumn 80, Issue 6, 2010, Pages 653-666

  Gomes, M Ivette ^a   Rodrigues, Lígia Henriques ^b   Pereira, Hugo ^c   Pestanaa, Dinis ^a  

^a UNIVERSITY OF LISBON   (Portugal)

^b INSTITUTO POLITÉCNICO DE TOMAR   (Portugal)

^c UNIVERSITY OF LISBON   (Portugal)

Author keywords

Heavy tails; Log excesses; Maximum likelihood; Monte carlo simulation; Semi parametric estimation; Statistics of extremes; Survival analysis

Indexed keywords

EID: 77951996641     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/00949650902755178     Document Type: Article

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