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A Multivariate Hill Estimator

• Authors : Yves Dominicy; Pauliina Ilmonen; David Veredas ...

Subjects: Hill estimator; elliptical distributions; Minimum Covariance Determinant

• Source: http://www.ecore.be/DPs/dp_1378209868.pdf.

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EDGEWORTH EXPANSIONS FOR THE DISTRIBUTION FUNCTION OF THE HILL ESTIMATOR

• Authors : Anke Cuntz; Erich Haeusler; Johan Segers ...

Subjects: Key words; asymptotic normality; Edgeworth expansions

• Source: http://greywww.kub.nl:2080/greyfiles/center/2003/doc/8.pdf.

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On Asymptotic Normality Of The Hill Estimator

• Authors : Laurens de Haan; Sidney Resnick; The Pennsylvania State University CiteSeerX Archives

• Source: ftp://ftp.orie.cornell.edu/pub/techreps/TR1155.ps

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An Example of Real–Life Data where the Hill Estimator is Correct

• Authors : Ulf Cormann; The Pennsylvania State University CiteSeerX Archives

Subjects: Key Words; Exceedances; Hill estimator

• Source: http://www.uclm.es/actividades0506/congresos/icmsm2006/articles/reissC06.pdf.

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A simple modification of the Hill estimator with applications to robustness and bias reduction

• Authors : Keith Knight; The Pennsylvania State University CiteSeerX Archives

• Source: http://utstat.utoronto.ca/keith/papers/robusthill.pdf.

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Monte carlo-based tail exponent estimator

• Authors : Jozef Barunik; Lukas Vacha; Jel C ...

Subjects: Hill estimator; α-stable distributions; tail exponent estimation

• Source: http://www.unifr.ch/econophysics/paper/download/id/1201.4781/format/pdf/.

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Zipf’s law for cities: A cross country investigation

• Authors : Kwok Tong Soo; The Pennsylvania State University CiteSeerX Archives

Subjects: Cities; Zipf’s Law; Pareto distribution

• Source: http://www2.econ.uu.nl/users/marrewijk//geography/zipf/kwoktongsoo.pdf.

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ESTIMATION OF THE TAIL INDEX FOR LATTICE-VALUED SEQUENCES

• Authors : Muneya Matsui; Thomas Mikosch; Laleh Tafakori ...

Subjects: tail index; Hill estimator; Pickands estimator

• Source: http://www.math.ku.dk/%7Emikosch/Preprint/Extremes12/submission_extemes_revision1.pdf.

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A new class of Bayesian estimators in paretian excessof -loss reinsurance

• Authors : R. -d. Reiss; M. Thomas; The Pennsylvania State University CiteSeerX Archives

Subjects: Fire and motor reinsurance; Full Pareto model; Generalized Pareto model

• Source: http://www.casact.org/library/astin/vol29no2/339.pdf.

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BOOTSTRAP PREDICTION INTERVALS FOR VAR AND ES IN THE CONTEXT OF GARCH MODELS

• Authors : María Rosa Nieto; Esther Ruiz; The Pennsylvania State University CiteSeerX Archives

Subjects: Expected Shortfall; Feasible Historical Simulation; Hill estimator

• Source: http://e-archivo.uc3m.es/bitstream/handle/10016/8524/ws102814.pdf;jsessionid=D270F466597FF6A455835E4118BE3EC2?sequence=1.

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