A parametric alternative to the Hill estimator for heavy-tailed distributions
Joseph H. T. Kim; Joocheol Kim
| Year of publication: |
2015
|
|---|---|
| Authors: | Kim, Joseph H. T. ; Kim, Joocheol |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 54.2015, p. 60-71
|
| Subject: | Hill estimator | Tail index | Extreme value theory | Generalized Pareto distribution | Scaled Log phase-type distribution | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Ausreißer | Outliers |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011377782