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Tail index estimation: quantile-driven threshold selection

The selection of upper order statistics in tail estimation is notoriously difficult. Methods that are based on asymptotic arguments, like minimizing the asymptotic MSE, do not perform well in finite samples. Here, we advance a data-driven method that minimizes the maximum distance between the fitted...

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Bibliographic Details
Authors and Corporations: Daníelsson, Jón (Author), Ergun, Lerby M. (Author), Haan, Laurens de (Author), Vries, Casper G. de (Author)
Other Authors: Ergun, Lerby M. (VerfasserIn) , Haan, Laurens de (VerfasserIn) 1937- , Vries, Casper G. de (VerfasserIn) 1955-
Type of Resource: E-Book
Language: English
[Ottawa] Bank of Canada [2019]
Series: Bank of Canada: Staff working paper ; 2019, 28 (August 2019)
Source: Verbunddaten SWB
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