A practical method for analysing heavy tailed data (Q5192949): Difference between revisions

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-Liang Peng
@@ Property / author: Liang Peng / rank @@
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+Liang Peng
@@ Property / author: Liang Peng / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1002/cjs.10018
@@ Property / full work available at URL: https://doi.org/10.1002/cjs.10018 / rank @@
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+W2011255472
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+Normal rank
@@ Property / cites work @@
+Confidence intervals for the tail index
@@ Property / cites work: Confidence intervals for the tail index / rank @@
+Normal rank
@@ Property / cites work @@
+Using a bootstrap method to choose the sample fraction in tail index estimation
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+Comparison of tail index estimators
@@ Property / cites work: Comparison of tail index estimators / rank @@
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+On the estimation of high quantiles
@@ Property / cites work: On the estimation of high quantiles / rank @@
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+Q4342744
@@ Property / cites work: Q4342744 / rank @@
+Normal rank
@@ Property / cites work @@
+Refined pickands estimators wtth bias correction
@@ Property / cites work: Refined pickands estimators wtth bias correction / rank @@
+Normal rank
@@ Property / cites work @@
+Selecting the optimal sample fraction in univariate extreme value estimation
+Normal rank
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+Q4508688
@@ Property / cites work: Q4508688 / rank @@
+Normal rank
@@ Property / cites work @@
+On optimising the estimation of high quantiles of a probability distribution
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+Estimating a tail exponent by modelling departure from a Pareto distribution
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+Extreme Values in Finance, Telecommunications, and the Environment
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+On bootstrap sample size in extreme value theory
@@ Property / cites work: On bootstrap sample size in extreme value theory / rank @@
+Normal rank
@@ Property / cites work @@
+``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter
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@@ Property / cites work @@
+A Sturdy Reduced-Bias Extreme Quantile (<i>VaR</i>) Estimator
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+A Diagnostic for Selecting the Threshold in Extreme Value Analysis
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+Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
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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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+Estimation of quantiles of the maximum of <i>N</i> observations
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+Asymptotically unbiased estimators for the extreme-value index
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@@ Property / cites work @@
+Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
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+A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
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@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
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+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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@@ links / mardi / name / links / mardi / name @@
+Publication:5192949