相关论文: Inference about the tail of a distribution. Improv…

A wide range of natural and social phenomena result in observables whose distributions can be well approximated by a power-law decay. The well-known Hill estimator of the tail exponent provides results which are in many respects superior to…

We introduce a trimmed version of the Hill estimator for the index of a heavy-tailed distribution, which is robust to perturbations in the extreme order statistics. In the ideal Pareto setting, the estimator is essentially finite-sample…

A new estimator is proposed for estimating the tail exponent of a heavy-tailed distribution. This estimator, referred to as the layered Hill estimator, is a generalization of the traditional Hill estimator, building upon a layered structure…

Estimating the tail index parameter is one of the primal objectives in extreme value theory. For heavy-tailed distributions the Hill estimator is the most popular way to estimate the tail index parameter. Improving the Hill estimator was…

The distributed Hill estimator is a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. In applications, estimates based on the distributed Hill estimator can be sensitive to the…

Modeling and understanding multivariate extreme events is challenging, but of great importance in various applications - e.g. in biostatistics, climatology, and finance. The separating Hill estimator can be used in estimating the extreme…

Preferential attachment is widely used to model power-law behavior of degree distributions in both directed and undirected networks. Practical analyses on the tail exponent of the power-law degree distribution use the Hill estimator as one…

In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values is unavailable. This research was motivated by an analysis of the degree distributions in a large social network. The degree…

We consider removing lower order statistics from the classical Hill estimator in extreme value statistics, and compensating for it by rescaling the remaining terms. Trajectories of these trimmed statistics as a function of the extent of…

In this paper we tackle the problem of estimating the power-law tail exponent of income distributions by using the Hill's estimator. A subsample semi-parametric bootstrap procedure minimising the mean squared error is used to choose the…

Preferential attachment is widely used to model power-law behavior of degree distributions in both directed and undirected networks. In a directed preferential attachment model, despite the well-known marginal power-law degree…

Heavy tailed phenomena are naturally analyzed by extreme value statistics. A crucial step in such an analysis is the estimation of the extreme value index, which describes the tail heaviness of the underlying probability distribution. We…

In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. We begin the study with the finite sample behavior of the Hill estimator under {\alpha}-stable distributions. Using large Monte Carlo…

At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…

The task for a general and useful classification of the tail behaviors of probability distributions still has no satisfactory solution. Due to lack of information outside the range of the data the tails of the distribution should be…

Different questions related with analysis of extreme values and outliers arise frequently in practice. To exclude extremal observations and outliers is not a good decision because they contain important information about the observed…

In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…

The so-called partition function is a sample moment statistic based on blocks of data and it is often used in the context of multifractal processes. It will be shown that its behaviour is strongly influenced by the tail of the distribution…

The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] proposed estimators of the marginal distributions of this…

A tail empirical process for heavy-tailed and right-censored data is introduced and its Gaussian approximation is established. In this context, a (weighted) new Hill-type estimator for positive extreme value index is proposed and its…