L. Viharos

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math.ST2020

Limit laws for the norms of extremal samples

Peter Kevei, Lillian Oluoch, Laszlo Viharos

Let denote $S_{n} (p) = k_{n}^{- 1} \sum_{i = 1}^{k_{n}} (lo g (X_{n + 1 - i, n} / X_{n - k_{n}, n}))^{p}$ , where $p > 0$ , $k_{n} \leq n$ is a sequence of integers such that $k_{n} \to \infty$ …

math.ST2020

Regression estimators for the tail index

Amenah AL-Najafi, László Viharos

We propose a class of weighted least squares estimators for the tail index of a distribution function with a regularly varying upper tail. Our approach is based on the method devel…

math.ST2020

Weighted least squares estimators for the Parzen tail index

Amenah AL-Najafi, László Viharos

Estimation of the tail index of heavy-tailed distributions and its applications are essential in many research areas. We propose a class of weighted least squares (WLS) estimators…