9 - Estimating Power-Law Tails: Let the Tail Do the Talking
from Part III - Estimation
Published online by Cambridge University Press: 17 May 2022
Summary
Extremal approaches for semi-parametric estimation of power-law tails are presented, including the Hill estimator, the moments estimate, the Pickands estimator, and Peaks over threshold.Further, approaches for estimating where the tail begins are presented, including PLFIT and the double bootstrap method.
- Type
- Chapter
- Information
- The Fundamentals of Heavy TailsProperties, Emergence, and Estimation, pp. 197 - 237Publisher: Cambridge University PressPrint publication year: 2022