Improved Estimation of the Extreme Value Index Using Related Variables

Hanan Ahmed and John Einmahl
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Hanan Ahmed: Tilburg University, Center For Economic Research

No 2018-025, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: asymptotic normality; heavy tail; Hill estimator; tail dependence; variance reduction (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Working Paper: Improved Estimation of the Extreme Value Index Using Related Variables (2018)
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