A new approach on estimation of the tail index
Date
2002Author
Politis, Dimitris NicolasISSN
1631-073XSource
Comptes Rendus MathematiqueVolume
335Issue
3Pages
279-282Google Scholar check
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A new approach on tail index estimation is proposed based on studying the in-sample evolution of appropriately chosen diverging statistics. The resulting estimators are simple to construct, and they can be generalized to address other rate estimation problems as well. © 2002 Académie des sciences/Éditions scientifiques et médicales Elsevier SAS.