A tail bootstrap procedure for estimating the tail pareto-index

• Type: Article in International Scientific Journal
• Date: 1998

Authors

Bacro, JN (Author) Other; Brito, M (Author) FCUP

Journal

Title: Journal of Statistical Planning and Inference

Vol. 71

Pages: 245-260

ISSN: 0378-3758

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 8 Citations

Scopus - 8 Citations

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-001-7CR

DOI: 10.1016/s0378-3758(98)00011-1

Abstract (EN): We propose a general bootstrap technique for estimating the Pareto-index. The method is based on the resampling of a sample of size l(n) deduced from the original sample X-1,...,X-n, where l(n) is a sequence of positive integers satisfying some regularity conditions. We show that this new procedure works for estimators based on the largest values of the original sample.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 16