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Journal articles
Semi-parametric estimation for heavy tailed distributions
Abstract : In this paper, we generalize several works in the extreme value theory for the estimation of the extreme value index and the second order parameter. Weak consistency and asymptotic normality are proven under classical assumptions. Some numerical simulations and computations are also performed to illustrate the finite-sample and the limiting behavior of the estimators.
Cited literature [21 references]
https://hal.archives-ouvertes.fr/hal-00292587
Contributor : Cécile Mercadier <>
Submitted on : Wednesday, July 2, 2008 - 9:59:43 AM
Last modification on : Wednesday, July 8, 2020 - 12:43:56 PM
Long-term archiving on: : Friday, May 28, 2010 - 8:32:25 PM
Contributor : Cécile Mercadier <>
Submitted on : Wednesday, July 2, 2008 - 9:59:43 AM
Last modification on : Wednesday, July 8, 2020 - 12:43:56 PM
Long-term archiving on: : Friday, May 28, 2010 - 8:32:25 PM
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