Arbeitspapier
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation
We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the method is not conditional on an initial consistent estimate of the tailindex; and the ratio of the first and second order tail indices is left unrestricted, but we require the ratio to be strictlypositive. Hence the current method yields a complete solution to tail index estimation as it is not predicated on a more orless arbitrary choice of the number of highest order statistics.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 97-016/4
- Klassifikation
-
Wirtschaft
- Thema
-
Tail index
Bootstrap
Bias
Mean squared error
Schätztheorie
Wahrscheinlichkeitsrechnung
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Danielsson, J.
de Haan, L.
Peng, L.
de Vries, C.G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
1997
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Danielsson, J.
- de Haan, L.
- Peng, L.
- de Vries, C.G.
- Tinbergen Institute
Entstanden
- 1997
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