[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
A review of more than one hundred Pareto-tail index estimators. (2018). Fedotenkov, Igor.
In: MPRA Paper.
RePEc:pra:mprapa:90072.

Full description at Econpapers || Download paper

Cited: 9

Citations received by this document

Cites: 152

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Testing extreme warming and geographical heterogeneity. (2024). Gonzalo, Jesus ; Olmo, Jos ; Gadea, Mara Dolores.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:45023.

    Full description at Econpapers || Download paper

  2. On the comparison of several classical estimators of the extreme value index. (2022). Gomes, Ivette M ; Caeiro, Frederico ; Cabral, Ivanilda.
    In: Communications in Statistics - Theory and Methods.
    RePEc:taf:lstaxx:v:51:y:2022:i:1:p:179-196.

    Full description at Econpapers || Download paper

  3. Pareto models for top incomes and wealth. (2022). Flachaire, Emmanuel ; Charpentier, Arthur.
    In: The Journal of Economic Inequality.
    RePEc:spr:joecin:v:20:y:2022:i:1:d:10.1007_s10888-021-09514-6.

    Full description at Econpapers || Download paper

  4. Independent Approximates enable closed-form estimation of heavy-tailed distributions. (2022). Nelson, Kenric P.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:601:y:2022:i:c:s0378437122003983.

    Full description at Econpapers || Download paper

  5. Inequality Measurement: Methods and Data. (2021). Flachaire, Emmanuel ; Cowell, Frank.
    In: Post-Print.
    RePEc:hal:journl:hal-03589066.

    Full description at Econpapers || Download paper

  6. Testing the Dismal Theorem. (2021). Tol, Richard ; Anthoff, David.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8939.

    Full description at Econpapers || Download paper

  7. Testing the Dismal Theorem. (2020). Tol, Richard ; Anthoff, David.
    In: Working Paper Series.
    RePEc:sus:susewp:1920.

    Full description at Econpapers || Download paper

  8. Capital and Labor Income Pareto Exponents across Time and Space. (2020). Toda, Alexis Akira ; de Vries, Tjeerd.
    In: LIS Working papers.
    RePEc:lis:liswps:794.

    Full description at Econpapers || Download paper

  9. Capital and Labor Income Pareto Exponents across Time and Space. (2020). Toda, Alexis Akira ; de Vries, Tjeerd.
    In: Papers.
    RePEc:arx:papers:2006.03441.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aban, I. B. and M. M. Meerschaert (2001). Shifted Hill's estimator for heavy tails. Communications in Statistics-Simulation and Computation 30 (4), 949-962.
    Paper not yet in RePEc: Add citation now
  2. Aban, I. B. and M. M. Meerschaert (2004). Generalized least-squares estimators for the thickness of heavy tails. Journal of Statistical Planning and Inference 119 (2), 341-352.
    Paper not yet in RePEc: Add citation now
  3. Agterberg, F. (1995). Multifractal modeling of the sizes and grades of giant and supergiant deposits. International Geology Review 37 (1), 1-8.
    Paper not yet in RePEc: Add citation now
  4. Axtell, R. L. (2001). Zipf distribution of US firm sizes. Science 293 (5536), 1818-1820.
    Paper not yet in RePEc: Add citation now
  5. Bacro, J. N. and M. Brito (1995). Weak limiting behaviour of a simple tail Pareto-index estimator. Journal of Statistical Planning and inference 45 (1-2), 7-19.
    Paper not yet in RePEc: Add citation now
  6. Baek, C. and V. Pipiras (2010). Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known. Journal of Statistical Planning and Inference 140 (7), 1957-1967.
    Paper not yet in RePEc: Add citation now
  7. Beirlant, J. and A. Guillou (2001). Pareto index estimation under moderate right censoring. Scandinavian Actuarial Journal 2001 (2), 111-125.
    Paper not yet in RePEc: Add citation now
  8. Beirlant, J. and J. L. Teugels (1989). Asymptotic normality of Hill's estimator. In Extreme value theory, pp. 148-155. Springer.
    Paper not yet in RePEc: Add citation now
  9. Beirlant, J., A. Guillou, G. Dierckx, and A. Fils-Villetard (2007). Estimation of the extreme value index and extreme quantiles under random censoring. Extremes 10 (3), 151-174.
    Paper not yet in RePEc: Add citation now
  10. Beirlant, J., F. Figueiredo, M. I. Gomes, and B. Vandewalle (2008). Improved reduced-bias tail index and quantile estimators. Journal of Statistical Planning and Inference 138 (6), 1851-1870.
    Paper not yet in RePEc: Add citation now
  11. Beirlant, J., G. Dierckx, A. Guillou, and C. Staaricaa (2002). On exponential representations of log-spacings of extreme order statistics. Extremes 5 (2), 157-180.
    Paper not yet in RePEc: Add citation now
  12. Beirlant, J., G. Dierckx, and A. Guillou (2005). Estimation of the extreme value index and generalized quantile plots. Bernoulli 11 (6), 949-970.
    Paper not yet in RePEc: Add citation now
  13. Beirlant, J., G. Dierckx, Y. Goegebeur, and G. Matthys (1999). Tail index estimation and an exponential regression model. Extremes 2 (2), 177-200.
    Paper not yet in RePEc: Add citation now
  14. Beirlant, J., P. Vynckier, and J. L. Teugels (1996). Tail index estimation, Pareto quantile plots regression diagnostics. Journal of the American Statistical Association 91 (436), 1659-1667.
    Paper not yet in RePEc: Add citation now
  15. Beirlant, J., P. Vynckier, and J. L. Teugels (1996a). Excess functions and estimation of the extreme-value index. Bernoulli 2 (4), 293-318.
    Paper not yet in RePEc: Add citation now
  16. Benhabib, J., A. Bisin, and M. Luo (2017). Earnings inequality and other determinants of wealth inequality. American Economic Review 107 (5), 593-97.

  17. Benhabib, J., A. Bisin, and S. Zhu (2011). The distribution of wealth and fiscal policy in economies with finitely lived agents. Econometrica 79 (1), 123-157.

  18. Beran, J. and D. Schell (2012). On robust tail index estimation. Computational Statistics & Data Analysis 56 (11), 3430-3443.

  19. Beran, J., D. Schell, and M. Stehlik (2014). The harmonic moment tail index estimator: asymptotic distribution and robustness. Annals of the Institute of Statistical Mathematics 66 (1), 193-220.

  20. Brazauskas, V. and R. Serfling (2000). Robust and efficient estimation of the tail index of a single-parameter Pareto distribution. North American Actuarial Journal 4 (4), 12-27.

  21. Brilhante, M. F., M. I. Gomes, and D. Pestana (2013). A simple generalisation of the Hill estimator. Computational Statistics & Data Analysis 57 (1), 518-535.

  22. Brilhante, M.F., G.-M. P. D. (2014). The mean-of-order p extreme value index estimator revisited. In New Advances in Statistical Modeling and Application, pp. 163-175. Berlin.
    Paper not yet in RePEc: Add citation now
  23. Brito, M. and A. C. M. Freitas (2003). Limiting behaviour of a geometric-type estimator for tail indices. Insurance: Mathematics and Economics 33 (2), 211-226.

  24. Brito, M., L. Cavalcante, and A. C. M. Freitas (2016). Bias-corrected geometric-type estimators of the tail index. Journal of Physics A: Mathematical and Theoretical 49 (21), 214003.
    Paper not yet in RePEc: Add citation now
  25. Brzezinski, M. (2016). Robust estimation of the Pareto tail index: a Monte Carlo analysis. Empirical Economics 51 (1), 1-30.

  26. Caeiro, F. and M. I. Gomes (2002). A class of asymptotically unbiased semiparametric estimators of the tail index. Test 11 (2), 345-364.

  27. Caeiro, F. and M. I. Gomes (2006). A new class of estimators of a scale second order parameter. Extremes 9 (3-4), 193-211.
    Paper not yet in RePEc: Add citation now
  28. Caeiro, F., M. I. Gomes, and D. Pestana (2005). Direct reduction of bias of the classical Hill estimator. Revstat 3 (2), 113-136.
    Paper not yet in RePEc: Add citation now
  29. Caeiro, F., M. I. Gomes, J. Beirlant, and T. de Wet (2016). Mean-of-order p reduced-bias extreme value index estimation under a third-order framework. Extremes 19 (4), 561-589.
    Paper not yet in RePEc: Add citation now
  30. Chaney, T. (2008). Distorted gravity: the intensive and extensive margins of international trade. American Economic Review 98 (4), 1707-1721.

  31. Ciuperca, G. and C. Mercadier (2010). Semi-parametric estimation for heavy tailed distributions. Extremes 13 (1), 55-87.
    Paper not yet in RePEc: Add citation now
  32. Cowell, F. A. and E. Flachaire (2007). Income distribution and inequality measurement: The problem of extreme values. Journal of Econometrics 141 (2), 1044-1072.

  33. Csorgo, S. and D. M. Mason (1985). Central limit theorems for sums of extreme values. In Mathematical Proceedings of the Cambridge Philosophical Society, Volume 98, pp. 547-558.
    Paper not yet in RePEc: Add citation now
  34. Csorgo, S. and L. Viharos (1998). Estimating the tail index. In Asymptotic Methods in Probability and Statistics, pp. 833-881. Elsevier.
    Paper not yet in RePEc: Add citation now
  35. Csorgo, S., P. Deheuvels, and D. Mason (1985). Kernel estimates of the tail index of a distribution. The Annals of Statistics 13, 1050-1077.
    Paper not yet in RePEc: Add citation now
  36. Danielsson, J., D. W. Jansen, and C. G. De Vries (1996). The method of moments ratio estimator for the tail shape parameter. Communications in Statistics-Theory and Methods 25 (4), 711-720.
    Paper not yet in RePEc: Add citation now
  37. Das, K. P. and S. C. Halder (2016). Understanding extreme stock trading volume by generalized Pareto distribution. The North Carolina Journal of Mathematics and Statistics 2, 45-60.
    Paper not yet in RePEc: Add citation now
  38. Davydov, Y., V. Paulauskas, and A. Rackauskas (2000). More on p-stable convex sets in Banach spaces. Journal of Theoretical Probability 13 (1), 39-64.
    Paper not yet in RePEc: Add citation now
  39. De Haan, L. and S. I. Resnick (1980). A simple asymptotic estimate for the index of a stable distribution. Journal of the Royal Statistical Society. Series B 42 (1), 83-87.
    Paper not yet in RePEc: Add citation now
  40. De Haan, L. and S. Resnick (1998). On asymptotic normality of the Hill estimator. Stochastic Models 14 (4), 849-866.
    Paper not yet in RePEc: Add citation now
  41. De Haan, L. and T. T. Pereira (1999). Estimating the index of a stable distribution. Statistics & Probability Letters 41 (1), 39-55.

  42. De Haan, L. d. and L. Peng (1998). Comparison of tail index estimators. Statistica Neerlandica 52 (1), 60-70.

  43. De Haan, L. F. M. (1970). On regular variation and its application to the weak convergence of sample extremes. Mathematisch Centrum, Amsterdam.
    Paper not yet in RePEc: Add citation now
  44. Deheuvels, P., E. Haeusler, and D. M. Mason (1988). Almost sure convergence of the Hill estimator. In Mathematical Proceedings of the Cambridge Philosophical Society, Volume 104, pp. 371-381.
    Paper not yet in RePEc: Add citation now
  45. Dekkers, A. L., J. H. Einmahl, and L. De Haan (1989). A moment estimator for the index of an extreme-value distribution. The Annals of Statistics 17 (4), 1833-1855.

  46. Drees, H. (1995). Refined Pickands estimators of the extreme value index. The Annals of Statistics 23 (6), 2059-2080.
    Paper not yet in RePEc: Add citation now
  47. Drees, H. (1996). Refined Pickands estimators with bias correction. Communications in Statistics-Theory and Methods 25 (4), 837-851.
    Paper not yet in RePEc: Add citation now
  48. Drees, H. (1998). A general class of estimators of the extreme value index. Journal of Statistical Planning and Inference 66 (1), 95-112.
    Paper not yet in RePEc: Add citation now
  49. Drees, H. (1998). On smooth statistical tail functionals. Scandinavian Journal of Statistics 25 (1), 187-210.

  50. Dupuis, D. and M. Tsao (1998). A hybrid estimator for generalized Pareto and extreme-value distributions. Communications in Statistics-Theory and Methods 27 (4), 925-941.
    Paper not yet in RePEc: Add citation now
  51. Dupuis, D. J. and M.-P. Victoria-Feser (2006). A robust prediction error criterion for Pareto modelling of upper tails. Canadian Journal of Statistics 34 (4), 639-658.
    Paper not yet in RePEc: Add citation now
  52. Dupuis, D. J. and S. Morgenthaler (2002). Robust weighted likelihood estimators with an application to bivariate extreme value problems. Canadian Journal of Statistics 30 (1), 17-36.
    Paper not yet in RePEc: Add citation now
  53. Falk, M. (1994). Efficiency of convex combinations of Pickands estimator of the extreme value index. Journal of Nonparametric Statistics 4 (2), 133-147
    Paper not yet in RePEc: Add citation now
  54. Fan, Z. (2004). Estimation problems for distributions with heavy tails. Journal of Statistical Planning and Inference 123 (1), 13-40.
    Paper not yet in RePEc: Add citation now
  55. Ferriere, R. and B. Cazelles (1999). Universal power laws govern intermittent rarity in communities of interacting species. Ecology 80 (5), 1505-1521.
    Paper not yet in RePEc: Add citation now
  56. Fialova, A., J. Jureckova, and J. Picek (2004). Estimating Pareto tail index based on sample means. REVSTAT - Statistical Journal 2 (1), 75-100.
    Paper not yet in RePEc: Add citation now
  57. Finkelstein, M., H. G. Tucker, and J. Alan Veeh (2006). Pareto tail index estimation revisited. North American Actuarial Journal 10 (1), 1-10.

  58. Fraga Alves, M. (1995). Estimation of the tail parameter in the domain of attraction of an extremal distribution. Journal of Statistical Planning and Inference 45 (1-2), 143-173.
    Paper not yet in RePEc: Add citation now
  59. Fraga Alves, M. (2001). A location invariant Hill-type estimator. Extremes 4 (3), 199-217.
    Paper not yet in RePEc: Add citation now
  60. Fraga Alves, M. I., M. I. Gomes, L. de Haan, and C. Neves (2009). Mixed moment estimator and location invariant alternatives. Extremes 12 (2), 149-185.
    Paper not yet in RePEc: Add citation now
  61. Fraga Alves, M., M. I. Gomes, and L. de Haan (2003). A new class of semiparametric estimators of the second order parameter. Portugaliae Mathematica 60 (2), 193-214.
    Paper not yet in RePEc: Add citation now
  62. Gabaix, X. (2009). Power laws in economics and finance. Annual Review of Economics 1 (1), 255-294.

  63. Gabaix, X. and A. Landier (2008). Why has CEO pay increased so much? The Quarterly Journal of Economics 123 (1), 49-100.

  64. Gabaix, X. and R. Ibragimov (2011). Rank- 1/2: a simple way to improve the OLS estimation of tail exponents. Journal of Business & Economic Statistics 29 (1), 24-39.

  65. Gabaix, X., P. Gopikrishnan, V. Plerou, and H. E. Stanley (2003). A theory of power-law distributions in financial market fluctuations. Nature 423 (6937), 267.

  66. Gastwirth, J. L. (1972). The estimation of the Lorenz curve and Gini index. The Review of Economics and Statistics 54, 306-316.

  67. Gomes, M. I. and A. Guillou (2015). Extreme value theory and statistics of univariate extremes: A review. International Statistical Review 83 (2), 263-292.

  68. Gomes, M. I. and L. Henriques-Rodrigues (2016). Competitive estimation of the extreme value index. Statistics & Probability Letters 117, 128-135.

  69. Gomes, M. I. and M. J. Martins (2001). Generalizations of the Hill estimator - asymptotic versus finite sample behaviour. Journal of Statistical Planning and Inference 93 (1-2), 161-180.
    Paper not yet in RePEc: Add citation now
  70. Gomes, M. I. and M. J. Martins (2002). Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter. Extremes 5 (1), 5-31.
    Paper not yet in RePEc: Add citation now
  71. Gomes, M. I. and M. J. Martins (2004). Bias reduction and explicit semiparametric estimation of the tail index. Journal of Statistical Planning and Inference 124 (2), 361-378.
    Paper not yet in RePEc: Add citation now
  72. Gomes, M. I. and O. Oliveira (2003). Maximum likelihood revisited under a semi-parametric context-estimation of the tail index. Journal of Statistical Computation and Simulation 73 (4), 285-301.
    Paper not yet in RePEc: Add citation now
  73. Gomes, M. I., C. Miranda, and C. Viseu (2007). Reduced-bias tail index estimation and the Jackknife methodology. Statistica Neerlandica 61 (2), 243-270.

  74. Gomes, M. I., F. Caeiro, and F. Figueiredo (2004). Bias reduction of a tail index estimator through an external estimation of the second-order parameter. Statistics 38 (6), 497-510.
    Paper not yet in RePEc: Add citation now
  75. Gomes, M. I., F. Figueiredo, and S. Mendonca (2005). Asymptotically best linear unbiased tail estimators under a second-order regular variation condition. Journal of Statistical Planning and Inference 134 (2), 409-433.
    Paper not yet in RePEc: Add citation now
  76. Gomes, M. I., H. Pereira, and M. C. Miranda (2005). Revisiting the role of the Jackknife methodology in the estimation of a positive tail index. Communications in Statistics-Theory and Methods 34 (2), 319-335.
    Paper not yet in RePEc: Add citation now
  77. Gomes, M. I., L. Henriques-Rodrigues, and B. Manjunath (2016). Mean-oforder-p location-invariant extreme value index estimation. Revstat 14 (3), 273-296.
    Paper not yet in RePEc: Add citation now
  78. Gomes, M. I., M. J. Martins, and M. Neves (2000). Alternatives to a semiparametric estimator of parameters of rare events - the Jackknife methodology. Extremes 3 (3), 207-229.
    Paper not yet in RePEc: Add citation now
  79. Gomes, M. I., M. J. Martins, and M. Neves (2002). Generalized Jackknife semi-parametric estimators of the tail index. Portugaliae Mathematica 59 (4), 393-408.
    Paper not yet in RePEc: Add citation now
  80. Gomes, M. I., M. J. Martins, and M. Neves (2007). Improving second order reduced bias extreme value index estimation. Revstat 5 (2), 177-207.
    Paper not yet in RePEc: Add citation now
  81. Groeneboom, P., H. Lopuhaa, and P. De Wolf (2003). Kernel-type estimators for the extreme value index. The Annals of Statistics 31 (6), 1956-1995.
    Paper not yet in RePEc: Add citation now
  82. Haeusler, E. and J. L. Teugels (1985). On asymptotic normality of Hill's estimator for the exponent of regular variation. The Annals of Statistics 13 (1), 743-756.
    Paper not yet in RePEc: Add citation now
  83. Hall, P. (1982). On some simple estimates of an exponent of regular variation. Journal of the Royal Statistical Society. Series B (Methodological) 44 (1), 37-42.
    Paper not yet in RePEc: Add citation now
  84. Hall, P. and A. Welsh (1985). Adaptive estimates of parameters of regular variation. The Annals of Statistics 13, 331-341.
    Paper not yet in RePEc: Add citation now
  85. Hill, B. M. (1975). A simple general approach to inference about the tail of a distribution. The Annals of Statistics 3 (5), 1163-1174.
    Paper not yet in RePEc: Add citation now
  86. Hinloopen, J. and C. Van Marrewijk (2012). Power laws and comparative advantage. Applied Economics 44 (12), 1483-1507.

  87. Hosking, J. R. M. and J. R. Wallis (1987). Parameter and quantile estimation for the generalized Pareto distribution. Technometrics 29 (3), 339-349.
    Paper not yet in RePEc: Add citation now
  88. Huebner, F., D. Liu, and J. Fernandez (1998). Queueing performance comparison of traffic models for internet traffic. In Global Telecommunications Conference, 1998. GLOBECOM 1998. The Bridge to Global Integration. IEEE, Volume 1, pp. 471-476. IEEE.
    Paper not yet in RePEc: Add citation now
  89. Huisman, R., K. G. Koedijk, C. J. M. Kool, and F. Palm (2001). Tail index estimates in small samples. Journal of Business & Economic Statistics 19 (2), 208-216.

  90. Husler, J., D. Li, and S. Muller (2006). Weighted least squares estimation of the extreme value index. Statistics & Probability Letters 76 (9), 920-930.

  91. Jureckova, J. (2000). Test of tails based on extreme regression quantiles. Statistics & Probability Letters 49 (1), 53-61.

  92. Jureckova, J. and J. Picek (2001). A class of tests on the tail index. Extremes 4 (2), 165-183.
    Paper not yet in RePEc: Add citation now
  93. Jureckova, J. and J. Picek (2004). Estimates of the tail index based on nonparametric tests. In Theory and Applications of Recent Robust Methods, pp. 141-152. Springer.
    Paper not yet in RePEc: Add citation now
  94. Kaizoji, T. (2003). Scaling behavior in land markets. Physica A: Statistical Mechanics and its Applications 326 (1-2), 256-264.

  95. Kang, S. and J. Song (2017). Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework. Journal of the Korean Statistical Society 46 (4), 487-501.
    Paper not yet in RePEc: Add citation now
  96. Knight, K. (2007). A simple modification of the Hill estimator with applications to robustness and bias reduction. Unpublished paper: Statistics Department, University of Toronto.
    Paper not yet in RePEc: Add citation now
  97. Kratz, M. and S. I. Resnick (1996). The qq-estimator and heavy tails. Stochastic Models 12 (4), 699-724.
    Paper not yet in RePEc: Add citation now
  98. LePage, R., M. Woodroofe, and J. Zinn (1981). Convergence to a stable distribution via order statistics. The Annals of Probability 9 (4), 624-632.
    Paper not yet in RePEc: Add citation now
  99. Li, J., Z. Peng, and S. Nadarajah (2008). A class of unbiased location invariant Hill-type estimators for heavy tailed distributions. Electronic Journal of Statistics 2, 829-847.
    Paper not yet in RePEc: Add citation now
  100. Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business 36, 394-419.

  101. Mason, D. M. (1982). Laws of large numbers for sums of extreme values. The Annals of Probability 10 (3), 754-764.
    Paper not yet in RePEc: Add citation now
  102. McElroy, T. (2007). Tail index estimation for parametric families using log moments. Research Report Series (Statistics Nr. 2007-2).
    Paper not yet in RePEc: Add citation now
  103. McElroy, T. and D. N. Politis (2007). Moment-based tail index estimation. Journal of Statistical Planning and Inference 137 (4), 1389-1406.
    Paper not yet in RePEc: Add citation now
  104. Meerschaert, M. M. and H.-P. Scheffler (1998). A simple robust estimation method for the thickness of heavy tails. Journal of Statistical Planning and Inference 71 (1), 19-34.
    Paper not yet in RePEc: Add citation now
  105. Mittnik, S. and S. T. Rachev (1993). Modeling asset returns with alternative stable distributions. Econometric Reviews 12 (3), 261-330.
    Paper not yet in RePEc: Add citation now
  106. Muller, S. and K. Rubach (2009). Smooth tail-index estimation. Journal of Statistical Computation and Simulation 79 (9), 1155-1167.
    Paper not yet in RePEc: Add citation now
  107. Muller, U. K. and Y. Wang (2017). Fixed-k asymptotic inference about tail properties. Journal of the American Statistical Association 112 (519), 1334-1343.

  108. Nadaraya, E. A. (1964). On estimating regression. Theory of Probability & Its Applications 9 (1), 141-142.
    Paper not yet in RePEc: Add citation now
  109. Newman, M. E. (2005). Power laws, Pareto distributions and Zipf's law. Contemporary physics 46 (5), 323-351.
    Paper not yet in RePEc: Add citation now
  110. Nordhaus, W. D. (2012). Economic policy in the face of severe tail events. Journal of Public Economic Theory 14 (2), 197-219.

  111. Nuyts, J. (2010). Inference about the tail of a distribution: Improvement on the Hill estimator. International Journal of Mathematics and Mathematical Sciences 2010, 1-16.

  112. Ogwang, T. (2011). Power laws in top wealth distributions: Evidence from Canada. Empirical Economics 41 (2), 473-486.

  113. Pareto, V. (1897). Cours de'conomie politique. Lausanne, Rouge.
    Paper not yet in RePEc: Add citation now
  114. Paulauskas, V. (2003). A new estimator for a tail index. Acta Applicandae Mathematica 79, 55-67.
    Paper not yet in RePEc: Add citation now
  115. Paulauskas, V. and M. Vaiciulis (2011). Several modifications of DPR estimator of the tail index. Lithuanian Mathematical Journal 51 (1), 36-50.
    Paper not yet in RePEc: Add citation now
  116. Paulauskas, V. and M. Vaiciulis (2012). Estimation of the tail index in the max-aggregation scheme. Lithuanian Mathematical Journal 52 (3), 297-315.
    Paper not yet in RePEc: Add citation now
  117. Paulauskas, V. and M. Vaiciulis (2013). On an improvement of Hill and some other estimators. Lithuanian Mathematical Journal 53 (3), 336-355.
    Paper not yet in RePEc: Add citation now
  118. Paulauskas, V. and M. Vaiciulis (2017). A class of new tail index estimators. Annals of the Institute of Statistical Mathematics 69 (2), 461-487.

  119. Paulauskas, V. and M. Vaiciulis (2017). Comparison of the several parameterized estimators for the positive extreme value index. Journal of Statistical Computation and Simulation 87 (7), 1342-1362.
    Paper not yet in RePEc: Add citation now
  120. Peng, L. (1998). Asymptotically unbiased estimators for the extreme-value index. Statistics & Probability Letters 38 (2), 107-115.

  121. Pickands III, J. (1975). Statistical inference using extreme order statistics. The Annals of Statistics 3 (1), 119-131.
    Paper not yet in RePEc: Add citation now
  122. Pisarenko, V. and D. Sornette (2003). Characterization of the frequency of extreme earthquake events by the generalized Pareto distribution. Pure and Applied Geophysics 160 (12), 2343-2364.
    Paper not yet in RePEc: Add citation now
  123. Politis, D. N. (2002). A new approach on estimation of the tail index. Comptes Rendus Mathematique 335 (3), 279-282.
    Paper not yet in RePEc: Add citation now
  124. Qi, Y. (2010). On the tail index of a heavy tailed distribution. Annals of the Institute of Statistical Mathematics 62 (2), 277-298.

  125. Quenouille, M. H. (1956). Notes on bias in estimation. Biometrika 43 (3/4), 353-360.
    Paper not yet in RePEc: Add citation now
  126. Rosen, K. T. and M. Resnick (1980). The size distribution of cities: an examination of the Pareto law and primacy. Journal of Urban Economics 8 (2), 165-186.

  127. Santos, P. A., M. Alves, and M. I. Gomes (2006). Peaks over random threshold methodology for tail index and high quantile estimation. Revstat, 227-247.
    Paper not yet in RePEc: Add citation now
  128. Schultze, J. and J. Steinebach (1996). On least squares estimates of an exponential tail coefficient. Statistics & Risk Modeling 14 (4), 353-372.

  129. Seekell, D. A. and M. L. Pace (2011). Does the Pareto distribution adequately describe the size-distribution of lakes? Limnology and Oceanography 56 (1), 350-356.
    Paper not yet in RePEc: Add citation now
  130. Segers, J. (2001). Residual estimators. Journal of Statistical Planning and Inference 98 (1-2), 15-27.
    Paper not yet in RePEc: Add citation now
  131. Segers, J. (2005). Generalized Pickands estimators for the extreme value index. Journal of Statistical Planning and Inference 128 (2), 381-396.
    Paper not yet in RePEc: Add citation now
  132. Simon, H. A. and C. P. Bonini (1958). The size distribution of business firms. The American Economic Review 48 (4), 607-617.
    Paper not yet in RePEc: Add citation now
  133. Smith, R. L. (1987). Estimating tails of probability distributions. The Annals of Statistics 15, 1174-1207.
    Paper not yet in RePEc: Add citation now
  134. Soo, K. T. (2005). Zipf's law for cities: A cross-country investigation. Regional science and urban Economics 35 (3), 239-263.

  135. Toda, A. A. (2012). The double power law in income distribution: Explanations and evidence. Journal of Economic Behavior & Organization 84 (1), 364-381.

  136. Toda, A. A. and K. Walsh (2015). The double power law in consumption and implications for testing euler equations. Journal of Political Economy 123 (5), 1177-1200.

  137. Tripathi, Y. M., S. Kumar, and C. Petropoulos (2014). Improved estimators for parameters of a Pareto distribution with a restricted scale. Statistical Methodology 18, 1-13.
    Paper not yet in RePEc: Add citation now
  138. Vaiciulis, M. (2009). An estimator of the tail index based on increment ratio statistics. Lithuanian Mathematical Journal 49 (2), 222-233.
    Paper not yet in RePEc: Add citation now
  139. Vaiciulis, M. (2012). Asymptotic properties of generalized DPR statistic. Lithuanian Mathematical Journal 52 (1), 95-110.
    Paper not yet in RePEc: Add citation now
  140. van Zyl, J. M. (2015). Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables. Journal of Statistical Theory and Practice 9 (1), 171-183.
    Paper not yet in RePEc: Add citation now
  141. Vandewalle, B., J. Beirlant, A. Christmann, and M. Hubert (2007). A robust estimator for the tail index of Pareto-type distributions. Computational Statistics & Data Analysis 51 (12), 6252-6268.

  142. Victoria-Feser, M.-P. and E. Ronchetti (1994). Robust methods for personal income distribution models. Canadian Journal of Statistics 22 (2), 247-258.
    Paper not yet in RePEc: Add citation now
  143. Viharos, L. (1999). Weighted least-squares estimators of tail indices. Probability and Mathematical Statistics 19 (2), 249-265.
    Paper not yet in RePEc: Add citation now
  144. Wang, C. and G. Chen (2016). A new hybrid estimation method for the generalized Pareto distribution. Communications in Statistics-Theory and Methods 45 (14), 4285-4294.

  145. Weiss, L. (1971). Asymptotic inference about a density function at an end of its range. Naval Research Logistics 18 (1), 111-114.

  146. Yun, S. (2000). A class of Pickands-type estimators for the extreme value index. Journal of Statistical Planning and Inference 83 (1), 113-124.
    Paper not yet in RePEc: Add citation now
  147. Zhang, J. (2007). Likelihood moment estimation for the generalized Pareto distribution. Australian & New Zealand Journal of Statistics 49 (1), 69-77.
    Paper not yet in RePEc: Add citation now
  148. Zhang, J. (2010). Improving on estimation for the generalized Pareto distribution. Technometrics 52 (3), 335-339.
    Paper not yet in RePEc: Add citation now
  149. Zhang, J. and M. A. Stephens (2009). A new and efficient estimation method for the generalized Pareto distribution. Technometrics 51 (3), 316-325.
    Paper not yet in RePEc: Add citation now
  150. Zhong, J. and X. Zhao (2012). Modeling complicated behavior of stock prices using discrete self-excited multifractal process. Systems Engineering Procedia 3, 110-118.
    Paper not yet in RePEc: Add citation now
  151. Zipf, G. K. (1941). National unity and disunity; the nation as a bio-social organism. Bloomington, Indiana: Principia Press.
    Paper not yet in RePEc: Add citation now
  152. Zipf, G. K. (1949). Human Behavior and the Principle of Least Effort: An Introduction to Human Ecology. Addison-Wesley, Reading, Massachusetts.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Heterogeneity in Macroeconomics: The Compositional Inequality Perspective. (2022). Palagi, Elisa ; Ranaldi, Marco.
    In: Working Papers.
    RePEc:inq:inqwps:ecineq2022-625.

    Full description at Econpapers || Download paper

  2. The Concentration of Personal Wealth in Italy 1995-2016. (2021). Acciari, Paolo ; Morelli, Salvatore ; Alvaredo, Facundo.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:608.

    Full description at Econpapers || Download paper

  3. Governance in mitigating the effect of oil wealth on wealth inequality: a cross-country analysis of policy thresholds. (2021). Asongu, Simplice ; Kamguia, Brice ; Nounamo, Yann ; Tadadjeu, Sosson ; Njangang, Henri.
    In: MPRA Paper.
    RePEc:pra:mprapa:110641.

    Full description at Econpapers || Download paper

  4. The concentration of personal wealth in Italy 1995-2016. (2021). Alvaredo, Facundo ; Morelli, Salvatore ; Acciari, Paolo.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-03226113.

    Full description at Econpapers || Download paper

  5. The concentration of personal wealth in Italy 1995-2016. (2021). Alvaredo, Facundo ; Morelli, Salvatore ; Acciari, Paolo.
    In: World Inequality Lab Working Papers.
    RePEc:hal:wilwps:halshs-03226113.

    Full description at Econpapers || Download paper

  6. The concentration of personal wealth in Italy 1995-2016. (2021). Alvaredo, Facundo ; Morelli, Salvatore ; Acciari, Paolo.
    In: PSE Working Papers.
    RePEc:hal:psewpa:halshs-03226113.

    Full description at Econpapers || Download paper

  7. Wealth Inequality and Return Heterogeneity During the COVID-19 Pandemic. (2021). Zhou, Xiaoqing ; Kartashova, Katya.
    In: Working Papers.
    RePEc:fip:feddwp:93383.

    Full description at Econpapers || Download paper

  8. Do ICTs drive wealth inequality? Evidence from a dynamic panel analysis. (2021). Kamguia, Brice ; Tadadjeu, Sosson ; Beleck, Alim ; Njangang, Henri.
    In: Working Papers.
    RePEc:exs:wpaper:21/057.

    Full description at Econpapers || Download paper

  9. Governance in mitigating the effect of oil wealth on wealth inequality: a cross-country analysis of policy thresholds. (2021). Asongu, Simplice ; Kamguia, Brice ; Nounamo, Yann ; Tadadjeu, Sosson ; Njangang, Henri.
    In: Working Papers.
    RePEc:exs:wpaper:21/049.

    Full description at Econpapers || Download paper

  10. Wage Risk and Portfolio Choice: The Role of Correlated Returns. (2021). Longmuir, Maximilian ; Konig, Johannes.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1974.

    Full description at Econpapers || Download paper

  11. The distributional consequences of rent?seeking. (2021). Lazarakis, Spyridon ; Angelopoulos, Konstantinos ; Philippopoulos, Apostolis .
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:59:y:2021:i:4:p:1616-1640.

    Full description at Econpapers || Download paper

  12. The concentration of personal wealth un Italy 1995 - 2016. (2021). Morelli, Salvatore ; Alvaredo, Facundo ; Acciari, Paolo.
    In: Working Papers.
    RePEc:ahg:wpaper:wp2021-13.

    Full description at Econpapers || Download paper

  13. Do ICTs drive wealth inequality? Evidence from a dynamic panel analysis. (2021). Kamguia, Brice ; Tadadjeu, Sosson ; Beleck, Alim ; Njangang, Henri.
    In: Working Papers of the African Governance and Development Institute..
    RePEc:agd:wpaper:21/057.

    Full description at Econpapers || Download paper

  14. Governance in mitigating the effect of oil wealth on wealth inequality: a cross-country analysis of policy thresholds. (2021). Asongu, Simplice ; Kamguia, Brice ; Nounamo, Yann ; Tadadjeu, Sosson ; Njangang, Henri.
    In: Working Papers of the African Governance and Development Institute..
    RePEc:agd:wpaper:21/049.

    Full description at Econpapers || Download paper

  15. Do ICTs drive wealth inequality? Evidence from a dynamic panel analysis. (2021). Kamguia, Brice ; Tadadjeu, Sosson ; Beleck, Alim ; Njangang, Henri.
    In: Research Africa Network Working Papers.
    RePEc:abh:wpaper:21/057.

    Full description at Econpapers || Download paper

  16. Governance in mitigating the effect of oil wealth on wealth inequality: a cross-country analysis of policy thresholds. (2021). Asongu, Simplice ; Njangang, Henri ; Kamguia, Brice ; Nounamo, Yann ; Tadadjeu, Sosson.
    In: Research Africa Network Working Papers.
    RePEc:abh:wpaper:21/049.

    Full description at Econpapers || Download paper

  17. .

    Full description at Econpapers || Download paper

  18. Rising Wealth Inequality: Intergenerational Links, Entrepreneurship, and the Decline in Interest Rate. (2020). Zhao, Kai ; Imrohoroglu, Ayse ; Mrohorolu, Aye.
    In: Working papers.
    RePEc:uct:uconnp:2020-13.

    Full description at Econpapers || Download paper

  19. The Dynamics of Wealth Concentration: Thoughts on Tony Atkinson’s Contributions. (2020). Morelli, Salvatore.
    In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti.
    RePEc:spr:italej:v:6:y:2020:i:1:d:10.1007_s40797-019-00119-7.

    Full description at Econpapers || Download paper

  20. Understanding 100 Years of the Evolution of Top Wealth Shares in the U.S.: What is the Role of Family Firms?. (2020). Atkeson, Andrew ; Irie, Magnus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27465.

    Full description at Econpapers || Download paper

  21. Sources of U.S. Wealth Inequality: Past, Present, and Future. (2020). Smith, Anthony A ; Krusell, Per ; Hubmer, Joachim.
    In: NBER Chapters.
    RePEc:nbr:nberch:14486.

    Full description at Econpapers || Download paper

  22. The Distributional Financial Accounts of the United States. (2020). Nemschoff, Danielle ; Nielsen, Eric ; Friedman, Sarah ; Volz, Alice Henriques ; Sommer, Kamila ; Batty, Michael ; Bricker, Jesse ; Briggs, Joseph.
    In: NBER Chapters.
    RePEc:nbr:nberch:14456.

    Full description at Econpapers || Download paper

  23. The Concentration of Personal Wealth in Italy 1995-2016. (2020). Alvaredo, Facundo ; Morelli, Salvatore ; Acciari, Paolo.
    In: NBER Chapters.
    RePEc:nbr:nberch:14451.

    Full description at Econpapers || Download paper

  24. Understanding 100 Years of the Evolution of Top Wealth Shares in the U.S.: What is the Role of Family Firms?. (2020). Irie, Magnus ; Atkeson, Andrew.
    In: Staff Report.
    RePEc:fip:fedmsr:88625.

    Full description at Econpapers || Download paper

  25. K-Returns to Education. (2020). Holm, Martin ; Guiso, Luigi ; Fagereng, Andreas ; Pistaferri, Luigi.
    In: EIEF Working Papers Series.
    RePEc:eie:wpaper:2002.

    Full description at Econpapers || Download paper

  26. The income fluctuation problem and the evolution of wealth. (2020). Toda, Alexis Akira ; Stachurski, John ; Ma, Qingyin.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:187:y:2020:i:c:s0022053120300107.

    Full description at Econpapers || Download paper

  27. The role of labor-income risk in household risk-taking. (2020). Li, Jian ; Koulovatianos, Christos ; Hubar, Sylwia.
    In: European Economic Review.
    RePEc:eee:eecrev:v:129:y:2020:i:c:s0014292120301537.

    Full description at Econpapers || Download paper

  28. K-Returns to Education. (2020). Pistaferri, Luigi ; Holm, Martin ; Guiso, Luigi ; Fagereng, Andreas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14310.

    Full description at Econpapers || Download paper

  29. Time Discounting and Wealth Inequality. (2019). Leth-Petersen, Søren ; Fehr, Ernst ; Kreiner, Claus Thustrup ; Fehr-Duda, Helga ; Epper, Thomas ; Rasmussen, Gregers Nytoft ; Lassen, David Dreyer.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2019:16.

    Full description at Econpapers || Download paper

  30. Use It or Lose It: Efficiency Gains from Wealth Taxation. (2019). Ocampo, Sergio ; Guvenen, Fatih ; Chen, Daphne ; Kuruscu, Burhan ; Kambourov, Gueorgui.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-648.

    Full description at Econpapers || Download paper

  31. The distributional effects of peer and aspirational pressure. (2019). Malley, Jim ; Lazarakis, Spyridon ; Angelopoulos, Konstantinos.
    In: Working Papers.
    RePEc:gla:glaewp:2019_06.

    Full description at Econpapers || Download paper

  32. The distributional effects of peer and aspirational pressure. (2019). Malley, James ; Lazarakis, Spyridon ; Angelopoulos, Konstantinos.
    In: Working Papers.
    RePEc:gla:glaewp:2019-06.

    Full description at Econpapers || Download paper

  33. Use it or Lose it: Efficiency Gains from Wealth Taxation. (2019). Ocampo, Sergio ; Guvenen, Fatih ; Chen, Daphne ; Kambourov, Gueorgui ; Kuruscu, Burhanettin.
    In: Working Papers.
    RePEc:fip:fedmwp:87575.

    Full description at Econpapers || Download paper

  34. Introducing the Distributional Financial Accounts of the United States. (2019). Nielsen, Eric ; Briggs, Joseph ; Shatto, Molly ; Reber, Sarah ; Moore, Kevin B ; McIntosh, Susan Hume ; Holmquist, Elizabeth Ball ; Bricker, Jesse ; Henriques, Alice M ; Batty, Michael M ; Sweeney, Tom ; Sommer, Kamila.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2019-17.

    Full description at Econpapers || Download paper

  35. Wealth distribution with random discount factors. (2019). Toda, Alexis Akira.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:104:y:2019:i:c:p:101-113.

    Full description at Econpapers || Download paper

  36. Information and Inequality. (2019). Lei, Xiaowen.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:184:y:2019:i:c:s002205311830317x.

    Full description at Econpapers || Download paper

  37. An impossibility theorem for wealth in heterogeneous-agent models with limited heterogeneity. (2019). Toda, Alexis Akira ; Stachurski, John.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:182:y:2019:i:c:p:1-24.

    Full description at Econpapers || Download paper

  38. The College Wealth Divide: Education and Inequality in America, 1956-2016. (2019). Kuhn, Moritz ; Schularick, Moritz ; Bartscher, Alina.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13864.

    Full description at Econpapers || Download paper

  39. Capital Income Risk and the Dynamics of the Wealth Distribution. (2019). Walde, Klaus ; Khieu, Hoang.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7970.

    Full description at Econpapers || Download paper

  40. The Distributional Effects of Peer and Aspirational Pressure. (2019). Malley, Jim ; Lazarakis, Spyridon ; Angelopoulos, Konstantinos.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7838.

    Full description at Econpapers || Download paper

  41. The Distributional Consequences of Rent Seeking. (2019). Philippopoulos, Apostolis ; Lazarakis, Spyridon ; Angelopoulos, Konstantinos.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7835.

    Full description at Econpapers || Download paper

  42. The College Wealth Divide: Education and Inequality in America, 1956-2016. (2019). Kuhn, Moritz ; Schularick, Moritz ; Bartscher, Alina K.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7726.

    Full description at Econpapers || Download paper

  43. Dynamics of income inequality under disequilibrium: The case of India. (2019). Jensen, Henrik Jeldtoft ; Sahasranaman, Anand.
    In: Papers.
    RePEc:arx:papers:1909.04452.

    Full description at Econpapers || Download paper

  44. .

    Full description at Econpapers || Download paper

  45. A review of more than one hundred Pareto-tail index estimators. (2018). Fedotenkov, Igor.
    In: MPRA Paper.
    RePEc:pra:mprapa:90072.

    Full description at Econpapers || Download paper

  46. Capital Income Risk and the Dynamics of the Wealth Distribution. (2018). Wälde, Klaus ; Khieu, Hoang ; Walde, Klaus.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp11840.

    Full description at Econpapers || Download paper

  47. Risk, uncertainty, and the dynamics of inequality. (2018). Kasa, Kenneth ; Lei, Xiaowen .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:94:y:2018:i:c:p:60-78.

    Full description at Econpapers || Download paper

  48. Wealth Taxes and Inequality. (2018). Reichlin, Pietro ; Borri, Nicola.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13067.

    Full description at Econpapers || Download paper

  49. Income and Wealth Inequality in America, 1949-2016. (2017). Kuhn, Moritz ; Steins, Ulrike I ; Schularick, Moritz.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6608.

    Full description at Econpapers || Download paper

  50. Wealth Distribution with Random Discount Factors. (2017). Toda, Alexis Akira.
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt5n29f260.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-15 07:58:27 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.