Quantile-based inference and estimation of heavy-tailed distributions

Quantile-based inference and estimation of heavy-tailed distributions

This thesis is divided in four chapters. The two first chapters introduce a parametric quantile-based estimation method of univariate heavy-tailed distributions and elliptical distributions, respectively. If one is interested in estimating the tail index without imposing a parametric form for the en...

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Bibliographic Details
Main Author: Dominicy, Yves
Other Authors: Veredas, David
Format: Doctoral Thesis
Language:fr
Published: Universite Libre de Bruxelles 2014
Subjects:
Economie
Finance > Econometric models
Distribution (Probability theory)
Estimation theory
Finances > Modèles économétriques
Distribution (Théorie des probabilités)
Théorie de l'estimation
Tail index
Quantiles
Simulation
Elliptical distributions
Heavy-tailed distributions
Estimation
Online Access:http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209311

Internet

http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209311

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