Extreme quantiles and tail index of a distribution based on kernel estimator
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DOI: 10.1016/j.jkss.2018.09.002
Abstract: Abstract In this paper, we reveal the relationship between the tail exponent introduced by Parzen (1979) and tail index for a distribution function. Furthermore, we analyze the domain of attraction of the weighted sum of… read more here.
Keywords: extreme quantiles; tail index; distribution; index distribution ... See more keywords