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Smooth tail-index estimation
Samuel Müller
*
, Kaspar Rufibach
*
Corresponding author for this work
Research output
:
Contribution to journal
›
Article
›
peer-review
16
Citations (Scopus)
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Mathematics
Tail Index
88%
Log-concave
48%
Estimator
39%
Distribution Function
33%
Quantile
26%
Extreme Value Index
19%
Generalized Pareto Distribution
18%
Extreme Value Theory
16%
Empirical Distribution Function
16%
Concave function
14%
Mean Squared Error
13%
Small Sample
12%
Order Statistics
12%
Monte Carlo Simulation
11%
Demonstrate
7%
Business & Economics
Tail Index
100%
Distribution Function
58%
Estimator
52%
Quantile
27%
Monte Carlo Simulation
20%
Generalized Pareto Distribution
19%
Order Statistics
19%
Extreme Value Theory
16%
Empirical Distribution
16%
Mean Squared Error
16%
Extreme Values
15%
Small Sample
13%
Engineering & Materials Science
Distribution functions
68%
Statistics
12%