On the Estimation of the Second Order Parameter for Heavy-Tailed Distributions
The extreme-value index γ is an important parameter in extreme-value theory since it controls the first order behavior of the distribution tail. In the literature, numerous estimators of this parameter have been proposed especially in the case of heavy-tailed distributions, which is the situation c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2013-11-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/138 |