Partially smooth tail-index estimation for small samples

Computational Statistics

Volumn 26, Issue 3, 2011, Pages 491-505

  Müller, Samuel ^a   Chhay, Houng ^b  

^a UNIVERSITY OF SYDNEY   (Australia)

^b Australian Bureau of Statistics   (Australia)

Author keywords

Extreme value theory; L moments; Monotone density estimation; Probability weighted moments; Small sample performance; Tail index estimation

Indexed keywords

EID: 79960594343     PISSN: 09434062     EISSN: 16139658     Source Type: Journal    
DOI: 10.1007/s00180-010-0221-5     Document Type: Article

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