Estimation of the tail index for lattice-valued sequences

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Standard

Estimation of the tail index for lattice-valued sequences. / Matsui, Muneya; Mikosch, Thomas Valentin; Tafakori, Laleh.

In: Extremes, Vol. 16, 2013, p. 429-455.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Matsui, M, Mikosch, TV & Tafakori, L 2013, 'Estimation of the tail index for lattice-valued sequences', Extremes, vol. 16, pp. 429-455. https://doi.org/10.1007/s10687-012-0167-9

APA

Matsui, M., Mikosch, T. V., & Tafakori, L. (2013). Estimation of the tail index for lattice-valued sequences. Extremes, 16, 429-455. https://doi.org/10.1007/s10687-012-0167-9

Vancouver

Matsui M, Mikosch TV, Tafakori L. Estimation of the tail index for lattice-valued sequences. Extremes. 2013;16:429-455. https://doi.org/10.1007/s10687-012-0167-9

Author

Matsui, Muneya ; Mikosch, Thomas Valentin ; Tafakori, Laleh. / Estimation of the tail index for lattice-valued sequences. In: Extremes. 2013 ; Vol. 16. pp. 429-455.

Bibtex

@article{71c03f6d2af64cd793d39801109e7ef2,
title = "Estimation of the tail index for lattice-valued sequences",
abstract = "If one applies the Hill, Pickands or Dekkers–Einmahl–de Haan estimatorsof the tail index of a distribution to data which are rounded off one often observes thatthese estimators oscillate strongly as a function of the number k of order statisticsinvolved.We study this phenomenon in the case of a Pareto distribution. We provideformulas for the expected value and variance of the Hill estimator and give bounds onk when the central limit theorem is still applicable. We illustrate the theory by usingsimulated and real-life data.",
author = "Muneya Matsui and Mikosch, {Thomas Valentin} and Laleh Tafakori",
year = "2013",
doi = "10.1007/s10687-012-0167-9",
language = "English",
volume = "16",
pages = "429--455",
journal = "Extremes",
issn = "1386-1999",
publisher = "Springer",

}

RIS

TY - JOUR

T1 - Estimation of the tail index for lattice-valued sequences

AU - Matsui, Muneya

AU - Mikosch, Thomas Valentin

AU - Tafakori, Laleh

PY - 2013

Y1 - 2013

N2 - If one applies the Hill, Pickands or Dekkers–Einmahl–de Haan estimatorsof the tail index of a distribution to data which are rounded off one often observes thatthese estimators oscillate strongly as a function of the number k of order statisticsinvolved.We study this phenomenon in the case of a Pareto distribution. We provideformulas for the expected value and variance of the Hill estimator and give bounds onk when the central limit theorem is still applicable. We illustrate the theory by usingsimulated and real-life data.

AB - If one applies the Hill, Pickands or Dekkers–Einmahl–de Haan estimatorsof the tail index of a distribution to data which are rounded off one often observes thatthese estimators oscillate strongly as a function of the number k of order statisticsinvolved.We study this phenomenon in the case of a Pareto distribution. We provideformulas for the expected value and variance of the Hill estimator and give bounds onk when the central limit theorem is still applicable. We illustrate the theory by usingsimulated and real-life data.

U2 - 10.1007/s10687-012-0167-9

DO - 10.1007/s10687-012-0167-9

M3 - Journal article

VL - 16

SP - 429

EP - 455

JO - Extremes

JF - Extremes

SN - 1386-1999

ER -

ID: 94843770