Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses (Q3589967): Difference between revisions

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+A simple general approach to inference about the tail of a distribution
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+A moment estimator for the index of an extreme-value distribution
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+Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
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+Estimation of the extreme-value index and generalized quantile plots
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+Adaptive estimates of parameters of regular variation
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+A simple second-order reduced bias’ tail index estimator
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+A Sturdy Reduced-Bias Extreme Quantile (<i>VaR</i>) Estimator
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+Improved reduced-bias tail index and quantile estimators
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+``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter
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+A new class of estimators of a ``scale'' second order parameter
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+Estimation of the extreme value index and extreme quantiles under random censoring
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+Statistics of extremes under random censoring
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+Comparison of tail index estimators
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+A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
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