Asymptotically unbiased estimators for the extreme-value index
From MaRDI portal
Publication:449915
DOI10.1016/S0167-7152(97)00160-0zbMath1246.62129MaRDI QIDQ449915
Publication date: 2 September 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
62G30: Order statistics; empirical distribution functions
62G32: Statistics of extreme values; tail inference
Related Items
How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events, NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY, Bias reduction of a tail index estimator through an external estimation of the second-order parameter, Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling, A practical method for analysing heavy tailed data, Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model, A heuristic adaptive choice of the threshold for bias-corrected Hill estimators, Unnamed Item, Semi-parametric second-order reduced-bias high quantile estimation, Second order properties of distribution tails and estimation of tail exponents in random difference equations, Asymptotic normality of location invariant heavy tail index estimator, Location invariant Weiss-Hill estimator, Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known, Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions, Does bias reduction with external estimator of second order parameter work for endpoint?, Second-order refined peaks-over-threshold modelling for heavy-tailed distributions, A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators, An estimator of heavy tail index through the generalized jackknife methodology, A class of asymptotically unbiased semi-parametric estimators of the tail index., On robust tail index estimation, A class of unbiased location invariant Hill-type estimators for heavy tailed distributions, Asymptotic analysis of portfolio diversification, Priority statement and some properties of t-lgHill estimator, Subsampling extremes: from block maxima to smooth tail estimation, Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation, Bias correction in multivariate extremes, Bias correction in extreme value statistics with index around zero, Haezendonck-Goovaerts risk measure with a heavy tailed loss, Nonlinear dynamics and intermittency in a long-term copepod time series, Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach, Improved reduced-bias tail index and quantile estimators, Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology, Reduced-Bias Tail Index Estimators Under a Third-Order Framework
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
- A moment estimator for the index of an extreme-value distribution
- Kernel estimates of the tail index of a distribution
- Adaptive estimates of parameters of regular variation
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Optimal choice of sample fraction in extreme-value estimation
- Excess functions and estimation of the extreme-value index
- Selecting the optimal sample fraction in univariate extreme value estimation
- Refined Pickands estimators of the extreme value index
- Estimating the limit distribution of multivariate extremes
- Comparison of tail index estimators
- Refined pickands estimators wtth bias correction
- Using a bootstrap method to choose the sample fraction in tail index estimation
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
