Linking Pareto-Tail Kernel Goodness-Offit Statistics with Tail Index at Optimal Threshold and Second Order Estimation
In this paper the relation between goodness-of-fit testing and the optimal selection of the sample fraction for tail estimation, for instance using Hill’s estimator, is examined. We consider this problem under a general kernel goodness-of-fit test statistic for assessing whether a sample is consist...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2008-03-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/57 |