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On robust
tail
index
estimation
Beran, Jan
;
Schell, Dieter
- In:
Computational Statistics & Data Analysis
56
(
2012
)
11
,
pp. 3430-3443
A new approach to
tail
index
estimation
based on huberization of the Pareto MLE is considered. The proposed estimator …
Persistent link: https://www.econbiz.de/10011056385
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