Browsing by Subject "tail estimation"
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(2012-10-09)The quality of estimation of multivariate tails depends significantly on the portion of the sample included in the estimation. A simple approach involving sequential statistical testing is proposed in order to select ...
(2011-03-31)The quality of estimation of tail parameters, such as tail index in the univariate case, or the spectral measure in the multivariate case, depends crucially on the part of the sample included in the estimation. A ...