Add to ORKGThis paper reviews more than one hundred Pareto (and equivalent) tail index estimators. It focuses on univariate estimators for nontruncated data. We discuss basic ideas of these estimators and provide their analytical expressions. As samples from heavy-tailed distributions are analysed by researchers from various fields of science, the paper provides nontechnical explanations of the methods, which could be understood by researchers with intermediate skills in statistics. We also discuss strengths and weaknesses of the estimators, if they are known. The paper can be viewed as a catalog or a reference book on Pareto-tail index estimators
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Estimation of the Pareto tail index from extreme order statistics is an important problem in many se...
In some applications, the population characteristics of main interest can be found in the tails of t...
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The problem of estimating the tail index in heavy-tailed distributions is very important in a variet...
In this thesis, we propose a new robust estimation procedure for the tail index for Pareto-type dist...
In extreme value statistics, the extreme value index is a well-known parameter to measure the tail h...
The problem of estimating the tail index in heavy-tailed distributions is very important in many ap...
This thesis focuses on the analysis of heavy-tailed distributions, which are widely applied to model...
A new regression-based approach for the estimation of the tail index of heavy-tailed distributions w...
In this paper, a new regression-based approach for the estimation of the tail index of heavy-tailed ...
Extreme Value Theory is increasingly used in the modelling of financial time series. The non-normali...
This paper suggests a simple method of deriving nonparametric lower bounds of the accuracy of statis...
2010 Mathematics Subject Classification: 62F10, 62F12.The t-Hill estimator for independent data was ...
Motivated by theoretical similarities between the classical Hill estimator of the tail index of a he...
International audienceThe estimation of extreme quantiles requires adapted methods to extrapolate be...
Estimation of the Pareto tail index from extreme order statistics is an important problem in many se...
In some applications, the population characteristics of main interest can be found in the tails of t...
In this work we analyze and compare the performances of VaR-based estimatorswith respect to three di...
The problem of estimating the tail index in heavy-tailed distributions is very important in a variet...
In this thesis, we propose a new robust estimation procedure for the tail index for Pareto-type dist...
In extreme value statistics, the extreme value index is a well-known parameter to measure the tail h...
The problem of estimating the tail index in heavy-tailed distributions is very important in many ap...