Asymptotically best linear unbiased tail estimators under a second-order regular variation condition

A Simple General Approach to Inference About the Tail of a Distribution

Bruce M. Hill · The Annals of Statistics · 1975 · 3.1K citations · Full text

Natural Sciences, Mathematics, Bayesian Data Analysis +15

IV.—On Least Squares and Linear Combination of Observations

A. C. Aitken · Proceedings of the Royal Society of Edinburgh · 1936 · 916 citations

Natural Sciences, Mathematics, Econometrics +11

Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation

Laurens de Haan, Liang Peng, Casper G. de Vries · Journal of Multivariate Analysis · 2001 · 459 citations

Public Health, Economics, Econometrics +15

Kernel Estimates of the Tail Index of a Distribution

Sándor Csörgő, Paul Deheuvels, David V. Mason · The Annals of Statistics · 1985 · 292 citations · Full text

Natural Sciences, Mathematics, Econometrics +15

Tail Index Estimation and an Exponential Regression Model

Jan Beirlant, Goedele Dierckx, Yuri Goegebeur et al. · Extremes · 1999 · 280 citations

Business, Business Economics, Finance +14