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  • Search: subject:"Scaled Log phase-type distribution"
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Extreme value theory 2 Generalized Pareto distribution 2 Hill estimator 2 Scaled Log phase-type distribution 2 Tail index 2 Ausreißer 1 Estimation theory 1 Outliers 1 Probability theory 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Wahrscheinlichkeitsrechnung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Kim, Joocheol 2 Kim, Joseph H. T. 1 Kim, Joseph H.T. 1
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Journal of Banking & Finance 1 Journal of banking & finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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A parametric alternative to the Hill estimator for heavy-tailed distributions
Kim, Joseph H.T.; Kim, Joocheol - In: Journal of Banking & Finance 54 (2015) C, pp. 60-71
Despite its wide use, the Hill estimator and its plot remain to be difficult to use in Extreme Value Theory (EVT) due to substantial sampling variations in extreme sample quantiles. In this paper, we propose a new plot we call the eigenvalue plot which can be seen as a generalization of the Hill...
Persistent link: https://www.econbiz.de/10011264655
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Cover Image
A parametric alternative to the Hill estimator for heavy-tailed distributions
Kim, Joseph H. T.; Kim, Joocheol - In: Journal of banking & finance 54 (2015), pp. 60-71
Persistent link: https://www.econbiz.de/10011377782
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