Semi-parametric second-order reduced-bias high quantile estimation

DOI10.1007/S11749-008-0108-8zbMath1203.62034OpenAlexW2042492188MaRDI QIDQ619113

M. Ivette Gomes, Frederico Caeiro

Publication date: 22 January 2011

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-008-0108-8

zbMATH Keywords

heavy tailsstatistics of extremeshigh quantilessemi-parametric estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (9)

Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application ⋮ A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators ⋮ Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ Semi-parametric tail inference through probability-weighted moments ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ An interview with Ivette Gomes ⋮ Semi-parametric probability-weighted moments estimation revisited ⋮ Estimation of High Conditional Quantiles for Heavy-Tailed Distributions ⋮ A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator

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