Minimum-Variance Reduced-Bias Tail Index and High Quantile Estimation
Heavy tailed-models are quite useful in many fields, like insurance, finance, telecommunications, internet traffic, among others, and it is often necessary to estimate a high quantile, i.e., a value that is exceeded with a probability p, small. The semiparametric estimation of this parameter relies...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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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/54 |