Bias reduction of a tail index estimator through an external estimation of the second-order parameter (Q4651105): Difference between revisions

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scientific article; zbMATH DE number 2135460

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English	Bias reduction of a tail index estimator through an external estimation of the second-order parameter	scientific article; zbMATH DE number 2135460

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scholarly article

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title

Bias reduction of a tail index estimator through an external estimation of the second-order parameter (English)

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21 February 2005

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zbMATH Keywords

theory of extremes

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semi-parametric estimation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/02331880412331284304

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cites work

Tail index estimation and an exponential regression model

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A class of asymptotically unbiased semi-parametric estimators of the tail index.

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Q5633348

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A moment estimator for the index of an extreme-value distribution

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A bootstrap-based method to achieve optimality in estimating the extreme-value index

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A general class of estimators of the extreme value index

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Estimating a tail exponent by modelling departure from a Pareto distribution

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Sur la distribution limite du terme maximum d'une série aléatoire

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Approximation by penultimate extreme value distributions

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Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour

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``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter

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Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology

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Semi-parametric estimation of the second order parameter in statistics of extremes

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Adaptive estimates of parameters of regular variation

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A simple general approach to inference about the tail of a distribution

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Asymptotically unbiased estimators for the extreme-value index

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Identifiers

zbMATH Open document ID

1055.62055

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DOI

10.1080/02331880412331284304

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:4651105

@@ Property / cites work @@
+Tail index estimation and an exponential regression model
+Normal rank
@@ Property / cites work @@
+A class of asymptotically unbiased semi-parametric estimators of the tail index.
+Normal rank
@@ Property / cites work @@
+Q5633348
@@ Property / cites work: Q5633348 / rank @@
+Normal rank
@@ Property / cites work @@
+A moment estimator for the index of an extreme-value distribution
+Normal rank
@@ Property / cites work @@
+A bootstrap-based method to achieve optimality in estimating the extreme-value index
+Normal rank
@@ Property / cites work @@
+A general class of estimators of the extreme value index
+Normal rank
@@ Property / cites work @@
+Estimating a tail exponent by modelling departure from a Pareto distribution
+Normal rank
@@ Property / cites work @@
+Sur la distribution limite du terme maximum d'une série aléatoire
+Normal rank
@@ Property / cites work @@
+Approximation by penultimate extreme value distributions
+Normal rank
@@ Property / cites work @@
+Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
+Normal rank
@@ Property / cites work @@
+``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter
+Normal rank
@@ Property / cites work @@
+Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
+Normal rank
@@ Property / cites work @@
+Semi-parametric estimation of the second order parameter in statistics of extremes
+Normal rank
@@ Property / cites work @@
+Adaptive estimates of parameters of regular variation
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Asymptotically unbiased estimators for the extreme-value index
+Normal rank