Using a bootstrap method to choose the sample fraction in tail index estimation

J Danielson, Laurens de Haan, L (Liang) Peng, Casper de Vries

Research output: Contribution to journalArticleAcademicpeer-review

259 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)226-248
Number of pages23
JournalJournal of Multivariate Analysis
Issue number2
Publication statusPublished - 2001

Research programs

  • EUR ESE 01

Cite this