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stat.ME2022
Estimation of the tail index of Pareto-type distributions using regularisation
E. Ocran, R. Minkah, G. Kallah-Dagadu +1
In this paper, we introduce reduced-bias estimators for the estimation of the tail index of a Pareto-type distribution. This is achieved through the use of a regularised weighted l…
stat.ME2018
Constant versus Covariate Dependent Threshold in the Peaks-Over Threshold Method
Richard Minkah, Tertius de Wet
The Peaks-Over Threshold is a fundamental method in the estimation of rare events such as small exceedance probabilities, extreme quantiles and return periods. The main problem wit…