Estimating a Tail Exponent by Modelling Departure from a Pareto Distribution
We suggest two semiparametric methods for accommodating departures from a Pareto model when estimating a tail exponent by fitting the model to extreme-value data. The methods are based on approximate likelihood and on least squares, respectively. The latter is somewhat simpler to use and more robust...
| Veröffentlicht in: | The Annals of Statistics. - Institute of Mathematical Statistics. - 27(1999), 2, Seite 760-781 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1999
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| Zugriff auf das übergeordnete Werk: | The Annals of Statistics |
| Schlagworte: | Bias reduction Extreme-value theory Log-spacings Maximum likelihood Order statistics Peaks-over-threshold Regression Regular variation Spacings Zipf's law mehr... |
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