Kernel Methods for Small Sample and Asymptotic Tail Inference for Dependent, Heterogeneous Data
Year of publication: |
2006-05
|
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Authors: | Hill, Jonathan |
Institutions: | Department of Economics, Florida International University |
Subject: | Hill estimator | regular variation | extremal near epoch dependence | kernel estimator | mean-square-error |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 0604 28 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C29 - Econometric Methods: Single Equation Models. Other ; C49 - Econometric and Statistical Methods: Special Topics. Other |
Source: |
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On Tail Index Estimation for Dependent, Heterogenous Data
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Hughes Hallett, Andrew, (2011)
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Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form
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