Dupuis, Debbie J.; Victoria-Feser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
Successful estimation of the Pareto tail index from extreme order statistics relies heavily on the procedure used to determine the number of extreme order statistics that are used for the estimation. Most of the known procedures are based on the minimization of (an estimate of) the asymptotic...
