Robust Estimation of Tail Parameters for Two-Parameter Pareto and Exponential Models via Generalized Quantile Statistics
By Vytaras Brazauskas, Robert Serfling. 2000
60 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/0607f520312eb239ed3c9f203b9a0376b18ec722
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Ricardas Zitikis
- B. Jones
- Vytaras Brazauskas
- Robert Serfling
- Samuel Kotz
- Christian Kleiber
- Maria L. Rizzo
- Edward Furman
In Statistics and Probability
- Ricardas Zitikis
- B. Jones
- Vytaras Brazauskas
- Robert Serfling
- Samuel Kotz
- Christian Kleiber
- Gauss Moutinho Cordeiro
- Edwin M. M. Ortega
Citations in the corpus
- Efficient and Robust Fitting of Lognormal Distributions (2002, background): “955, and μ̂(6) has much worse GES but comparable BP and much better ARE.”
- Statistical Size Distributions in Economics and Actuarial Sciences (2003, background): “Consequently, it is known under a variety of names: It seems that it was first considered by Burr (1942), where it appears as the twelfth example of solutions of a differential equation defining the Burr system of distributions [see Kleiber, (2003a) for a recent survey of this family].”
- Robust fitting of claim severity distributions and the method of trimmed moments (2009, methodology): “This has been accomplished by Brazauskas and Serfling (2000b) in the Pareto and exponential cases.”