Danielsson, J.; Haan, L. de; Peng, L.; Vries, C.G. de - Tinbergen Instituut - 1997
We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the...