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Judy...
Posted: Thu May 08, 2008 5:14 pm
Guest
Does anyone has good reference for applying and using hill's
estimator to your data?
(More on the practical, applicable side than the proofs)

Thanks in advance.
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David Winsemius...
Posted: Sat May 10, 2008 8:22 am
Guest
Judy <owlonmars at (no spam) gmail.com> wrote in news:0a7a0b36-9324-4518-ace1-e60edea3ce9c at (no spam) 34g2000hsh.googlegroups.com:

Quote:

Does anyone has good reference for applying and using hill's
estimator to your data?
(More on the practical, applicable side than the proofs)

Thanks in advance.


See if any of these addresses your request:
"HOW TO MAKE A HILL PLOT" by HOLGER DREES, LAURENS DE HAAN, AND SIDNEY
RESNICK
<http://www.tinbergen.nl/discussionpapers/98090.pdf>

"Using a Bootstrap Method to Choose the Sample Fraction in Tail Index
Estimation" by J. Danielsson, L. de Haan, L. Peng, C.G. de Vries
<http://www.tinbergen.nl/discussionpapers/97016.pdf>

"Modeling Dependencies in Large Claims" by H. Drees, P. M¨uller
<http://www.math.uni-hamburg.de/research/papers/prst/prst2007-02.pdf>

You might also try searching on synonyms such as "tail index" or
"extreme value index". This search with the addition of "applications"
and Filetype:pdf seemed to produce acceptably dense results:

<http://www.google.com/search?q=(%22hill's+estimator%22+OR+%22tail+estimator%22+OR%22extreme+value+index%22)+applications+filetype%3Apdf&sourceid=navclient-ff&ie=UTF-8&rlz=1B3GGGL_enUS226US226>

--
David Winsemius
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Judy...
Posted: Sat May 10, 2008 11:54 am
Guest
On May 10, 9:22 am, David Winsemius <doe_s... at (no spam) comcast.n0T> wrote:
Quote:
Judy <owlonm... at (no spam) gmail.com> wrote innews:0a7a0b36-9324-4518-ace1-e60edea3ce9c at (no spam) 34g2000hsh.googlegroups.com:



Does anyone has good reference for applying and using hill's
estimator to your data?
(More on the practical, applicable side than the proofs)

Thanks in advance.

See if any of these addresses your request:
"HOW TO MAKE A HILL PLOT" by HOLGER DREES, LAURENS DE HAAN, AND SIDNEY
RESNICK
http://www.tinbergen.nl/discussionpapers/98090.pdf

"Using a Bootstrap Method to Choose the Sample Fraction in Tail Index
Estimation" by J. Danielsson, L. de Haan, L. Peng, C.G. de Vries
http://www.tinbergen.nl/discussionpapers/97016.pdf

"Modeling Dependencies in Large Claims" by H. Drees, P. M¨uller
http://www.math.uni-hamburg.de/research/papers/prst/prst2007-02.pdf

You might also try searching on synonyms such as "tail index" or
"extreme value index". This search with the addition of "applications"
and Filetype:pdf seemed to produce acceptably dense results:

http://www.google.com/search?q=(%22hill's+estimator%22+OR+%22tail+est....

--
David Winsemius

Thanks a ton!
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