On the Estimation of the Second Order Parameter for Heavy-Tailed Distributions

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...

Full description

Bibliographic Details
Main Authors: El hadji Deme, Laurent Gardes, Stéphane Girard
Format: Article
Language:English
Published: Instituto Nacional de Estatística | Statistics Portugal 2013-11-01
Series:Revstat Statistical Journal
Subjects:
extreme-value theory
heavy-tailed distribution
extreme-value index
second order parameter
asymptotic properties
Online Access:https://revstat.ine.pt/index.php/REVSTAT/article/view/138

Similar Items

Similar Items