Danielsson, J.; de Haan, de Haan, L.F.M.; Peng, Peng, L.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2000
Tail index estimation depends for its accuracy on a precise choice of the sample fraction, i.e. the number of extreme order statistics on which the estimation is based. A complete solution to the sample fraction selection is given by means of a two step subsample bootstrap method. This method...