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Tail Index Estimation and an Exponential Regression. Model. J. BEIRLANT. Department of Mathematics, Katholieke Universiteit Leuven, 3001 Leuven, Belgium ...

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[1] Beirlant, J., Dierckx, G., Goegebeur, Y. and Matthys, G. (1999). Tail index esti- mation and an exponential regression model. Extremes 2, 177-200. ...

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Tail index estimation and exponential model. Extremes 2, 177–200. Beirlant, J. & Teugels, J. L. (1987). Asymptotic normality of Hill's estimator. ...

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Further work. Weibull tail- distributions. Estimation of the Weibull tail- index. 1. [Beirlant et al, 1996] proposed an estimator based on the Hill ...

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empirical tail function. H. ^. Figure 1: The empirical Hirsch index for Cox. of the extreme value index γ (see Chapters 4 and 5 in Beirlant et al. (2004)). ...

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Beirlant, J., Dierckx, G., Goegebeur, Y., and Matthys, G. (1999), “Tail index estimation and an exponential regression model,” Extremes, 2, 177–200. ...

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[16] Matthys, G. and Beirlant, J. (2000) Adaptive threshold selection in tail index estimation. In: Embrechts, P. (Ed.), Extremes and Integrated Risk ...

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There are alternative approaches to calculation of tail index. Such as fitting a line to the Pareto quantile plots (Beirlant et al., 1996; Luttmer, 2007), ...

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by B TaoRecent work on estimating extreme value index, see Beirlant and Guillou [3], Fraga Alves ..... ”Asymptotic normality of location invariant heavy tail index ...

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of the tail index. Such estimators are described in the monographs by Beirlant et al. (2004),. Castillo et al. (2005), de Haan and Ferreira (2006), ...

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[2] J. Beirlant, P. V ynckier and J. L. Teugel s, Tail index estimation, Pareto quantile plots, and regression diagnostics, J. Amer. Statist. Assoc. ...

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Beirlant, J., Dierckx, G., Goegebeur, Y., Matthys, G., 1999. Tail index esti- mation and an exponential regression model. Extremes 2 (2), 177–200. ...

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one to choose an appropriate threshold for tail index estimation. Hill (1975) already recognized this idea, see also Beirlant et al. (1996). Typically, how- ...

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