Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C. G. - In: Journal of Multivariate Analysis 76 (2001) 2, pp. 226-248
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...