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ESTIMATING A MULTIDIMENSIONAL EXTREME-VALUE DISTRIBUTION.

DE HAAN, L.; XIN, H. - Econometrisch Instituut, Faculteit der Economische … - 1990

Persistent link: https://www.econbiz.de/10005625239

TAIL AND QUANTILE ESTIMATION FOR STRONGLY MIXING STATIONARY SEQUENCES .

ROOTZEN, H.; LEADBETTER, L.; DE HAAN, L. - Econometrisch Instituut, Faculteit der Economische … - 1990

Persistent link: https://www.econbiz.de/10005625243

REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS

Phillips, Peter C.B.; Akonom, J.; Barro, R.J.; … - In: Econometric theory 23 (2007) 4, pp. 557-614

Persistent link: https://www.econbiz.de/10007732419

Using a bootstrap method to choose the sample fraction in tail index estimation

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...

Persistent link: https://www.econbiz.de/10010837770