10 citations · 13 across the 2 of their papers we have counts for
3 papers
math.ST2017
Modification of Moment-Based Tail Index Estimator: Sums versus Maxima
Natalia Markovich, Marijus Vaičiulis
In this paper we continue the investigation of the SRCEN estimator of the extreme value index (or the tail index ) proposed in \cite{MCE} for . We propose a new e…
math.ST2015★ 3 cited
Several new tail index estimators
Vygantas Paulauskas, Marijus Vaičiulis
In the paper we propose some new class of functions which is used to construct tail index estimators. Functions from this new class is non-monotone in general, but presents a produ…
math.PR2011★ 10 cited
Once more on comparison of tail index estimators
Vygantas Paulauskas, Marijus Vaičiulis
We consider heavy-tailed distributions and compare the well-known estimators of the tail index, based on extreme value theory with a comparatively recent estimator based on a diffe…