Title: Tail index estimation, pareto quantile plots, and regression diagnostics
Authors: Beirlant, Jan ×
Vynckier, P
Teugels, JL #
Issue Date: 1996
Publisher: Amer statist assn
Series Title: Journal of the American Statistical Association vol:91 issue:436 pages:1659-1667
Abstract: Successful application of extreme value statistics for estimating the Pareto tail index relies heavily on the choice of the number of extreme values taken into account. It is shown that these tail index estimators can be considered estimates of the slope at the right upper tail of a Pareto quantile plot, obtained using a weighted least squares algorithm. From this viewpoint, based on classical ideas on regression diagnostics, algorithms can be constructed searching for that order statistic to the right of which one obtains an optimal linear fit of the quantile plot.
ISSN: 0162-1459
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Statistics Section
× corresponding author
# (joint) last author

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