Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
Year of publication: |
2001
|
---|---|
Authors: | Danielsson, J. ; de Haan, L. ; Peng, L. ; de Vries, C. G. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 76.2001, 2, p. 226-248
|
Publisher: |
Elsevier |
Subject: | tail index | bootstrap | bias | mean squared error | optimal extreme sample fraction |
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Using a bootstrap method to choose the sample fraction in tail index estimation
Danielsson, J., (2000)
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Using a bootstrap method to choose the sample fraction in tail index estimation
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