Simultaneous tail index estimation
The estimation of the extreme-value index γ based on a sample of independent and identically distributed random variables has received considerable attention in the extreme-value literature. However, the problem of combining data from several groups is hardly studied. In this paper we discuss the s...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2004-06-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/7 |