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