On Robust and Distribution Sensitive Hill Like Method

0323556 - ÚI 2009 AT eng V - Výzkumná zpráva
Fabián, Zdeněk - Stehlík, M.
On Robust and Distribution Sensitive Hill Like Method.
Linz: Johannes Kepler University, 2009. 9 s. IFAS Research Paper Series, 2009-43.
Grant ostatní: Aktion(CZ-AT) 50p14
Výzkumný záměr: CEZ:AV0Z10300504
Zdroj financování: V - jiné veřejné zdroje
Klíčová slova: consistency * Hill estimator * insurance * Pareto tail * t-Hill estimator * robustness
Kód oboru RIV: BA - Obecná matematika
http://ifas.jku.at/research-paper-series/IFAS-2009-43.pdf

Citováno: 5

--- PAULAUSKAS, V. - VAIIULIS, M. A class of new tail index estimators. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS. ISSN 0020-3157, APR 2017, vol. 69, no. 2, p. 461-487. [WOS]
--- MCELROY, T. - NAGARAJA, C.H. Tail index estimation with a fixed tuning parameter fraction. JOURNAL OF STATISTICAL PLANNING AND INFERENCE. ISSN 0378-3758, MAR 2016, vol. 170, p. 27-45. [WOS]
--- OUADJED, H. - MAMI, T.F. ESTIMATION FOR HEAVY TAILED MOVING AVERAGE PROCESS. KYBERNETIKA. ISSN 0023-5954, 2018, vol. 54, no. 2, p. 351-362. [WOS]
--- BOUALI, D.L. - BENATIA, F. - BRAHIMI, B. - CHESNEAU, C. Robust Estimator of Conditional Tail Expectation of Pareto-Type Distribution. JOURNAL OF STATISTICAL THEORY AND PRACTICE. ISSN 1559-8608, MAR 2021, vol. 15, no. 1. [WOS]
--- JORDANOVA, P.K. - PANCHEVA, E.I. WEAK ASYMPTOTIC RESULTS FOR t-HILL ESTIMATOR. COMPTES RENDUS DE L ACADEMIE BULGARE DES SCIENCES. ISSN 1310-1331, 2012, vol. 65, no. 12, p. 1649-1656. [WOS]

Trvalý link: http://hdl.handle.net/11104/0171476