97-016/4 - Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

  • Authors
    J. Danielsson, University of Iceland; L. de Haan, Erasmus University Rotterdam; L. Peng, Erasmus University Rotterdam; C.G. de Vries, Erasmus University Rotterdam
  • Publication date
    January 30, 1997
  • Keywords
    Tail index; Bootstrap; Bias; Mean squared error