Determination of change-point of tail index
This article deals with a new estimator for tail index, introduced by proof V. Paulauskas in [1]. Hypothesis of a change-point at beforehand-unknown place is examined. Besides simple theoretical calculations, simulation results are presented, which enable to expect successful practical applications...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2003-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/32502 |
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