Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

J. Beirlant, E. Joossens, J. Segers

Research output: Working paperDiscussion paperOther research output

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Abstract

AMS classifications: 62G20; 62G32;
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages18
Volume2005-112
Publication statusPublished - 2005

Publication series

NameCentER Discussion Paper
Volume2005-112

Fingerprint

Generalized Pareto Distribution
Tail

Keywords

  • bias
  • exchange rate
  • heavy tails
  • peaks-over-threshold
  • regular variation
  • tail index

Cite this

Beirlant, J., Joossens, E., & Segers, J. (2005). Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution. (CentER Discussion Paper; Vol. 2005-112). Tilburg: Econometrics.
Beirlant, J. ; Joossens, E. ; Segers, J. / Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution. Tilburg : Econometrics, 2005. (CentER Discussion Paper).
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author = "J. Beirlant and E. Joossens and J. Segers",
note = "Subsequently published in the Journal of Statistical Planning and Inference (2009) Pagination: 18",
year = "2005",
language = "English",
volume = "2005-112",
series = "CentER Discussion Paper",
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Beirlant, J, Joossens, E & Segers, J 2005 'Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution' CentER Discussion Paper, vol. 2005-112, Econometrics, Tilburg.

Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution. / Beirlant, J.; Joossens, E.; Segers, J.

Tilburg : Econometrics, 2005. (CentER Discussion Paper; Vol. 2005-112).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

AU - Beirlant, J.

AU - Joossens, E.

AU - Segers, J.

N1 - Subsequently published in the Journal of Statistical Planning and Inference (2009) Pagination: 18

PY - 2005

Y1 - 2005

N2 - AMS classifications: 62G20; 62G32;

AB - AMS classifications: 62G20; 62G32;

KW - bias

KW - exchange rate

KW - heavy tails

KW - peaks-over-threshold

KW - regular variation

KW - tail index

M3 - Discussion paper

VL - 2005-112

T3 - CentER Discussion Paper

BT - Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

PB - Econometrics

CY - Tilburg

ER -

Beirlant J, Joossens E, Segers J. Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution. Tilburg: Econometrics. 2005. (CentER Discussion Paper).