Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions (Q2452882): Difference between revisions

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+https://doi.org/10.1016/j.spl.2014.01.010
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+W2047907486
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@@ Property / cites work @@
+Robust and efficient estimation by minimising a density power divergence
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+Statistics of Extremes
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+Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
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+Q5485944
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+An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
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+A new class of semi-parametric estimators of the second order parameter.
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+Kernel estimators for the second order parameter in extreme value statistics
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+Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
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+A Sturdy Reduced-Bias Extreme Quantile (<i>VaR</i>) Estimator
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+A simple general approach to inference about the tail of a distribution
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+Robust and efficient estimation for the generalized Pareto distribution
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+Estimation of a tail index based on minimum density power divergence
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+Robust estimation of the generalized Pareto distribution
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+A robust estimator for the tail index of Pareto-type distributions
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+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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+Publication:2452882